You only need to enclose undeclared entities in CDATA sections. If you declare your entities in a DTD(internal or external) you can use them normally.

<?xml version="1.0"?>
<!DOCTYPE sanity [
 <!ENTITY check  "&#666;">
]>

<sanity>
 &check;
</sanity>
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I usually inlcude the three xhtml character entity sets in my DTD. This way I don't get errors if somebody slips in a £ or a ¥

<!-- SPECIAL CHARACTER ENTITY SETS DECLARED AND REFERENCED HERE -->
<!ENTITY % xhtml-lat1 PUBLIC    "-//W3C//ENTITIES Latin 1 for XHTML//E
+N" "xhtml-lat1.ent">
%xhtml-lat1;
<!ENTITY % xhtml-special PUBLIC "-//W3C//ENTITIES Special for XHTML//E
+N" "xhtml-special.ent">
%xhtml-special;
<!ENTITY % xhtml-symbol PUBLIC  "-//W3C//ENTITIES Symbols for XHTML//E
+N" "xhtml-symbol.ent">
%xhtml-symbol;
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Update:Here are the links to those character entity sets

Latin 1
Special
Symbols

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