Security wise it's actually better to not check at all and just try to make the directory and catch an exception if it fails. This is because this causes a race condition between the time you check if something exists and when you actually create the directory there is a window of time something can make that directory and/or file. A common vulnerability in code :)

Further reading in case your interested: 
http://stackoverflow.com/questions/82831/how-do-i-check-if-a-file-exists-using-python
http://stackoverflow.com/questions/14574518/how-does-using-the-try-statement-avoid-a-race-condition/14575508#14575508