Quarantine for any new living creature is a good idea. Heck, I think towns should quarantine people before letting them in!
I have been quite rapidly expanding my collection; living in Africa, we have quite a lot of bugs hanging about the place just waiting to chomp your prized plants. You can expect good growers to send you good, healthy plants, but you can't expect them to notice 100% of every single thing - vigilance is the key! I was quite impressed when one supplier phoned me up and told me one of the plants I wanted was infested with scale which they were finding tricky to treat - did I perhaps want to not receive it in that state and replace it with something else - of course I did!
I guess some tips that might help are a *really thorough* examination of all plants (preferably using magnification) in good light; peel off any sheaths or similar (those brown papery bits) under which things might hide, and consider re-potting into known good medium (as things might well hide in the medium/on the roots). There are always some places you can't inspect and some things are really tiny and fit in the smallest spaces!
I'm not sure that a general "preventative" dose of insecticide/fungicide is a good idea; much like indiscriminate use of antibiotics has made them less and less effective, you'll also build up resistant pests in your collection - so when you really need the treatment, it might not work, because you've selected for pests that are resistant to that treatment!
Unfortunately, I also don't have anywhere I can realistically quarantine new plants, so they end up right next to all my existing ones. Got a bit of a surprise when a gift orchid (a rather magnificent in-bloom
Oncidium sphacelatum) turned out to be infested with black aphid-like bugs. I didn't notice them (didn't really do a detailed enough inspection) and they multiplied to plague proportions. Fortunately, we caught it on that one plant and they didn't spread - moved it out of the collection into the bathroom, cut off all the flower spikes (which is where the critters were lurking to the point the flowers were looking sad and dying
) and sprayed it with a good dose of insecticide. All better now, but we lost a stunning set of blooms