Is it worth checking beans for stones?
I've found stones in dried beans, so it's no myth.  Not common, but I'd say I find one every year or two.  If you simply swallowed a small stone, it would almost certainly pass without harm, but as TFD pointed out in his comment, biting down on one could be an expensive and painful dental experience.  What I do is spread the beans out on a kitchen towel in a single layer.  For dark beans, I use a light-colored towel and vice-versa for light beans.  It's very easy to spot any foreign objects that way and it takes less than a minute, so it's worth doing in my opinion.  You can then easily toss the beans into a pot by just picking up the four corners of the towel and dumping them in.

I should add that I've found little balls of dried dirt far more often than actual stones.  Those would most likely dissolve and get washed away when you rinsed the beans, but it demonstrates that stones can be in there.