Breast self exam has long been included with the standard instructions during the annual well woman exam. However, there are very few randomized trials examining the effectiveness of this routine.  One large study in China compared breast self exam (BSE) to a control group who did not do them. The BSE group was instructed in proper technique and received a review of those instructions at one and 5 years. They also had supervised exams every 6 months for 5 years.  The women were followed for 10 years and they found no difference between the two groups in breast cancer deaths but more benign breast lesions were diagnosed in the self-examination group.  Other studies also failed to find a benefit of regular BSE in the rate of breast cancer diagnosis, death, or tumor size. These studies also found an increased rate of biopsy for benign breast disease in the BSE groups. The findings of two other case controlled studies suggest that proper BSE technique is important. Despite these studies and the findings that BSE might not change diagnosis we still recommend that women get to know their breasts so they will recognize any changes. This new approach is breast awareness…being comfortable and knowledgeable about your own body.  
Breast awareness and self-exam
At the wellness exam, all women should be told about the benefits and limitations of breast self-exam (BSE). Starting in their 20’s, women should become comfortable with how their breasts normally look and feel.  They should report any breast changes to their provider as soon as they are found. Not all changes indicate cancer. Most changes are benign but should be evaluated and documented. 
A woman can choose to be aware of how her breasts normally look and feel and feeling her breasts for changes (breast awareness), or to use a systematic scheduled approach to examine her breasts with monthly breast self exam. 
If BSE is the chosen method, a step by step approach is important to follow. The best time for a woman to examine her breasts is when they are not tender or swollen, usually after their menstrual cycle.  Women can choose not to do BSE or to do BSE occasionally. Women who are pregnant or breastfeeding, or who have implants can also choose to examine their breasts regularly. There is some thought that the implants push out the breast tissue and may make it easier to examine. 
How to examine your breasts (taken from cancer.org)
Lie down on your back and place your right arm behind your head. The exam is done while lying down, not standing up. This is because when lying down the breast tissue spreads evenly over the chest wall and is as thin as possible, making it much easier to feel all the breast tissue.
Use the finger pads of the 3 middle fingers on your left hand to feel for lumps in the right breast. Use overlapping dime-sized circular motions of the finger pads to feel the breast tissue.
Use 3 different levels of pressure to feel all the breast tissue. Light pressure is needed to feel the tissue closest to the skin; medium pressure to feel a little deeper; and firm pressure to feel the tissue closest to the chest and ribs. It is normal to feel a firm ridge in the lower curve of each breast, but you should tell your doctor if you feel anything else out of the ordinary. If you’re not sure how hard to press, talk with your doctor or nurse. Use each pressure level to feel the breast tissue before moving on to the next spot.
Move around the breast in an up and down pattern starting at an imaginary line drawn straight down your side from the underarm and moving across the breast to the middle of the chest bone (sternum or breastbone). Be sure to check the entire breast area going down until you feel only ribs and up to the neck or collar bone (clavicle).
There is some evidence to suggest that the up-and-down pattern (sometimes called the vertical pattern) is the most effective pattern for covering the entire breast without missing any breast tissue.
Repeat the exam on your left breast, putting your left arm behind your head and using the finger pads of your right hand to do the exam.
While standing in front of a mirror with your hands pressing firmly down on your hips, look at your breasts for any changes of size, shape, contour, or dimpling, or redness or scaliness of the nipple or breast skin. (The pressing down on the hips position contracts the chest wall muscles and enhances any breast changes.)
Examine each underarm while sitting up or standing and with your arm only slightly raised so you can easily feel in this area. Raising your arm straight up tightens the tissue in this area and makes it harder to examine.
This procedure for doing breast self-exam is different from previous recommendations. These changes represent an extensive review of the medical literature and input from an expert advisory group. There is evidence that this position (lying down), the area felt, pattern of coverage of the breast, and use of different amounts of pressure increase a woman’s ability to find abnormal areas.
Resources:
uptodate.com. Screening for breast cancer: Evidence for effectiveness
cancer.org. Breast awareness and self exam