The first thing to note is that there is no legal requirement for an inventor to perform a search before filing a patent application. However, if you perform a search or are aware of any relevant publication, you do have the legal obligation to disclose to the patent office all of the relevant publications you are aware of.
That said, it is a good idea to investigate whether your invention has been already published or patented by others. Moreover, the more publications the Examiner is reviewing before giving you the patent--the stronger it makes your patent. However, keep in mind that to search all possible publications would cost you more than filing the patent application itself. So, unfortunately, you'll have to make a decision on whether to file a patent application without having all possible information in hand.
One way to keep the costs down is to do the initial search by yourself. Free searches over the web can be done at the U.S. patent office, the European patent office, and the Japanese patent office. Limited searches can also be performed in Delphion web site, although you must register first. For a fee, Delphion will expand your access and features. For a relatively small fee you can also use Micropat.
There are also professional searchers who provide search service for a fee. Such service may cost you about $500-$2000, although you can specify to the searcher how much you would like to spend. You may want to check with Patentest.com, PatentQ, Express Search or Patent Complete.