i work out in the minnesota lakes area during the summer months so i end up picking 5-6 off me every night. (usually)
from what i've experienced, make sure to check the 'warm' parts of your body, ie: your junk, armpits, back of the knee, feet, around the ears/head.
usually they just suck on and chow down on blood.. if you don't catch one though withint 24hrs, they attach themselves pretty hard, and are a pain to get off. although i've never had one actually burrow into my skin.
hope that helps =)