I try to feel if there is actual movement between the fork and the headset when I rock it back and forth with my fingers. Otherwise you might feel play in a brake or some other part, but if that is where the play is you would not notice any movement with your fingers touching both headset and fork.
Also, if the headset is loose, if you lift the front wheel off the ground a few inches and drop it so the front wheel bounces up and down a few times, any play at the headset should cause a few extra noises that you otherwise would not normally hear.
There are lots of good videos on youtube and there are a lot that are very bad. Any video from Park Tools should be considered quite trustworthy, that is a very good place to start if looking for general bike mechanical youtube vids.
In the interests of full disclosure, I am biased, I grew up in Minneapolis, Minnesota, USA. Park Tools is located only a few miles from there.