how do I check the compression??
 

and what do I need to do it?

Compression tester. Screws into spark plug holes. Ideally you'd use a Mazda compression tester to check each rotor face seperately (a piston compression tester will only tell you the best of the 3). I bet a shop or Mazda dealer would do it for you for not too much money.

Remove EGI fuse (very important), remove the trailing spark plugs. Use a good quality automotive compression tester to perform two tests. 1) Check peak compression pressure (the gauge will hold the peak pressure reading until you press the relief valve. This pressure must be over 85 psi for each rotor. 2) Remove the check valve at the end of the hose by using needle-nose pliers. Have an assistant crank the engine as you watch the needle bounce. Each rotor face must generate an even bounce. Repeat this for both front and rear rotors. Any significant variation in pressure means there might be internal issues. A broken apex seal contributes to the largest variation. Collapsed/stuck seals generally result in low overall compression. A good, healthy, used rotary engine will generate even, cyclic bounces of over 100 psi.