You also then need to choose the next option on the Privacy screen, which is 'Include me in "People here now" after I check in'. This is visible to friends and people checked in nearby and is enabled by default. You want to uncheck that box as well. (2)
Wait! Wait! You're not finished yet - did you seriously think Facebook was going to make it that easy? Scroll down to the section 'Things others share' and choose the option 'Friends can check me in to places' You need to disable that as well. Then I think you're done. Note that I only say 'think'. Facebook make it deliberately difficult to find all this stuff - when you first go into the Privacy option you don't see the two other options, just the 'Places I check in to' one. (3)
Think that you're done now? Silly! Of course not. Next you go back to the 'Choose your privacy settings' section and scroll right down to the bottom to the Applications and websites section, and click on 'Edit your settings'. Click on the option 'Information accessible through your friends' section and choose 'Edit settings'. Anything that's been checked is available to any application that your friends are using. There's a new checkbox 'Places I've visited' and you might want to uncheck that one as well if you want to ensure that your friends' apps can't grab your location information. (4)
Of course, if you're happy with the options as they are - and there are good reasons why you might be - you're already fine and dandy, but you might want to check that 'Friends can check me in' option, as it doesn't tell you if it's already enabled or disabled. I don't mind that Facebook is offering these options at all, innovation is a good thing, but what does annoy me is their assumption that we want this on by default and how the deliberately make it difficult to find the options to change it.