Anyone use gas checks on coated lead bullets to prevent leading? If so, about at what velocity will leading start to occur?
Yes, for certain applications that have a gas port, or ported barrels. An AR10/15 is the most common example; I've found that gas cutting of the bullet base can happen as it passes the gas port, so I use copper gas checks to prevent that. Incidentally, the aluminum gas checks are not adequate to prevent that issue. Ported barrels in certain revolvers can have a similar effect, depending on the load and port configurations. Note that I am talking specifically about ported barrels (like Magnaport or factory versions of same), and not muzzle brakes.
In most anything else though - bolt action, lever, single shot, etc - you shouldn't need gas checks with most loads, if your bullet size and hardness are approximately right for the load. That includes using gas check bullet designs without a gas check. With the right alloy, you should be able to easily exceed 3,000 fps in rifles with a plain base powder coated bullet without leading. If the alloy is too soft (or the bullet design not right), accuracy will fall apart before you see any leading as you push the velocity up; let the accuracy determine your upper limit on speed.