Just picked up a collection that was laid out next to a mattress that displayed tell-tale signs. I am being EXTREMELY careful inspecting every jacket and inner sleeve.
I had a scare in my apartment a couple months back (turned out to be a dead German Cockroach) the exterminator was really informative. Basically, the only time you should ever worry about bed bugs in records is if they're stored next to a bed for a long time (see above, maybe). Bed bugs are attracted to your sleeptime exhalations, they can smell it from far away. They wait until you are asleep, and do not generally move around in the light. If you were to bring one in on your shoe, or bag, or what have you, it would travel the length of your place until it found the bed, sometimes taking weeks. Singular minded and smart little bastards. All of which is to say, they are not just going to be hiding out in some records. They are really about that bed life. They don't eat or live in cardboard (like some other household pests).