Definitely. In practice, it's impossible to do correctly. Even if your own code gets every malloc() correct (and also properly checks the return code of every syscall and library call that might fail due to lack of memory), you still have to trust that every library you use is also perfectly written and handles its memory failures just as perfectly. It'll never happen.

There's just one place that it makes sense: for very large buffers. If they fail, it doesn't mean the system is doomed. So it doesn't hurt to check that video-frame buffer alloc, or that file-decompression buffer. But for any of the small change (anything within orders of magnitude of the mean allocation size) its pointless.