I've never had bed bugs either, but I make it a point NOT to get them. We have never kept a mattress, comforter, pillow, pillow case, or any other large fabric item unless it was wrapped in plastic. You can't sell them for a lot anyway, and I would much rather lose $50 than have bed bugs (or fleas, or ticks, or mites, or lice) infect all of my other clothing & merchandise and have to spend time and money getting rid of them.
You never know why tenants got a storage unit in the first place-- you never know-- they may have rented a unit BECAUSE they had a flea or mite or lice problem in their home and needed a place to put their things while they cleaned their home. I realize this is a stretch, but you never truly know, so you always have to assume to worst to protect yourself.
Rebecca
http://storageheroes.blogspot.com