Is there a way to check if entry is selected in relationship? This project has a lot of user stuff. I need to display display different sections based on if the current user is in a field.

Is there a better/faster way than looping through and checking if every user matched the current user?

{% for approve in entry.docsApprovedBy.all() %}
   {% if approve.id == currentUser.id %}...{% endif %}
{% endfor %}
You should read the docs about relations 

relatedEntries = craft.entries.relatedTo({targetElement: currentUser, field: 'docsApprovedBy'}).all()