Absolutely ask the pilot and crew if he has been loaded...make a pest of yourself if necessary.
Some people print out a pic of the dog with a short note to the pilot...something along the lines of
Hi, my name is Marlan. I will be flying with you today. Could you please make sure that you can make my flight as comfortable as possible because I'm a little anxious. This is my first time flying.
If you're traveling during extremely high temperatures, you want to ask if the area beneath the plane (where large animals are transported) is temperature-controlled. Some airlines don't have this feature and will not carry pets during the hottest or coldest months of the year in order to protect them.