Build a simple detector with some diodes:
simulate this circuit – Schematic created using CircuitLab
If you just want to know if there is some signal, and aren't concerned with accurately measuring its strength, or demodulating it, you can throw this together with just about any components and it will work. Ideally the diodes have a low forward voltage, so they are Schottky diodes, like 1N60, or 1N5711, or a germanium diode. If you don't have any of those, probably an ordinary 1N4148 works too. Use whatever you have.
The capacitor is also not terribly critical. A cheap ceramic disk capacitor will work fine; whatever value you have.
The antenna is just a piece of wire. Connect the ground to something else, like your Arduino's ground, or the case, or another piece of wire. Not especially critical.
The hardest part is probably the ammeter. This needs to be a very sensitive meter -- on the order of microamps. Ideally, an analog meter, since it will be easier to see the changes in signal strength. A digital meter will work also, if it has a low enough range. It will just be harder to read.
Test the circuit by putting the antenna near a source of noise, like a computer monitor, or a motor, or your wireless access point, or your laptop's WiFi antenna, or any other radio transmitter you have that you know works.
Then, put it near your RF transmitter. Try transmitting something. If the ammeter moves, it's transmitting something.