There is a specification for dry film paint thickness testing.  It is published by the Steel Structures Painting Council.  It is called SSPC-PA-2.  Dry film thickness readings are taken in a small circle (Usually 3 to 5) and averaged out.  The total number of average readings are based on the total square footage of exposed painted steel in the project.  While PA-2 is the standard, many owners want more readings and more spots to be tested than in the PA-2 specification.  There is also a minimum reading and a maximum reading.  There is also a maximum allowable thickness of the paint deposit that is established by the paint manufacturer, and that is usually a point where the paint system will crack and fail.

To add to the good info that Joe has already given....

Make sure that you follow the paint mfg's recommendations on thier paint data sheet...if the customer needs "12 mils of coverage"....don't just put it all on in one coat without looking at the data sheets....the data sheets may not allow you to coat it that thick in one coat...you may need to apply two or three coats to achieve the final coating DFT that the customer requires....as Joe stated, apply too much paint in one coat and it will mud crack.

SSPC-PA2
5 spot measurements (average of three readings) for each 100 square feet measured. Note that individual readings are not subjected to rules but are included in the average for a spot measurement. No single spot measurement can be less than 80% of the specified thickness and no more than 120%.....additional measurements may be necessary to define any non-conforming area. Mfg data sheets can be referred to determine if a higher maximum thickness reading can be allowed under certain circumstances.

Another standard that is often referenced is ASTM D 1186 and has two methods of calibration to watch out for method A and method B.

Make sure that you follow which ever standard is called out...if no standard is referenced, I'd go with SSPC-PA2.

edit:
Here is an example of how to document the DFT measurements and the averaging...

these two Guys are right on the money
you wrote
at our shop we do structural steel and if the spec's call for 8 mils then the beam or column should be no less than 8 anywhere right ?
Depending on the spec there should be a high and low limit sspc pa2 as said is - 80% +120% the manufacturers data sheet will give some good application guidlines (as i have seen the spec and data sheet require 2 different DFT ranges)
Low DFT (dry film thickness) is bad but too much can be a disaster you WILL get mud cracking as said.
along with coat limmits some paints have a sweat in time the kit is mixed and you wait half hour os so before it can be used.
The American Institute of Steel Construction. (AISC) has a Sophisticated Painting Endorsement (SPE) program
MDK