Many thanks for all of your responses and inputs. What you have highlighted is exactly how I was thinking. I will have to get the specs from the Testing Lab for their CMM capabilities but I am sure that I can progress along these lines.
Curious - When you say "Testing Lab" are you referring to and outside, independent lab that does you calibrations or an internal quality lab?
If it's an outside lab, there shouldn't be a problem as they are expected to know what they are doing and supply you with proper certifications.
If it is an internal lab - Some of the factors mentioned by others come into play.
Assuming an Internal lab:
To me the bottom line is - can you check the gages with sufficient accuracy and precision, covering all the possible "faults" (roundness, flatness etc) so as to ensure the gage functions properly for it's intended purpose?
This requires that your equipment be sufficiently precise, but also that the personnel doing the check be sufficiently capable - That they understand how the gage is used, the potential failure modes etc.
If the answers to the above are yes, then by all means go ahead and do the check in house...
Peace
James