My Website is hosted across 3 production web servers and uses ASPNET Session management in the db. I have no sticky sessions on the load balancer so every other request goes around the servers in round robin.
Because of this I can't see a problem with allowing the app pool to use more than one worker.
What do I need to check first? Or should I just move forward?
What are you trying to achieve by using web gardens? If it is increased performance, then definitely do NOT do this. Web gardens, while advertised by Microsoft documentation and books as increasing performance, typically tend to decrease it - especially if the bottleneck in your application is the cpu.
What they are used for is if you are having reliability problems (your application pools keep crashing) - the web garden can make your application more reliable, but you will probably take a performance penalty for that.
Here is a great blog post that walks through whether you should use web gardens or not:
http://blogs.technet.com/mscom/archive/2007/07/10/gardening-on-the-web-server.aspx
Also, here is Microsoft's documentation on when it could make sense to use a web garden for performance reasons - but maybe take it with a grain of salt:
http://technet.microsoft.com/en-us/library/cc759278(WS.10).aspx
In addition to MattB excellent answer you need to consider impact extra application pools will have on the number of available TCP ports. Keep in mind that there are only so many ports on a server, no matter how many application pools you have. They will all compete for these ports.