A know-it-all

My school reports always used to say 'Holly needs to ask if there is something that she doesn't understand'. I used to hate having to put up my hand in class for fear of looking like an idiot, I always felt that I should know it and shouldn't need to ask. Now I'm feeling like I'm in the same situation. As a post-doc I'm working on a similar sort of project to my post-grad project but there are some big differences. I don't know at what point I should be putting up my hand and saying 'I don't understand' or 'am I doing this right'. I'm teaching myself but then I worry that I'm wasting time on stuff that I should know. I'm not supposed to know it all and I'm not trying to pretend that I do - I just still haven't learnt when to ask for help.