Jean -
I have Handy Shopper on my Palm Pilot that does it for me. My price book is high end fancy, but the idea is so simple that all you really need is a little notebook and a cheap calculator.
Pick 10 or so items that you go through a lot of. (more if you are ambitious) Write item on the top of the page. Make four columns - name of store, date including the year, price, unit price. Unit price is like price per ounce, price per pound, price per can size, etc. This is big - you don't want to get fooled by packaging.
Then fill in your columns. Use your receipts to start with, but I use the grocery flyers too. If you see in-store specials, write those down too. Its a fair amount of work to start with, but after awhile, you only write down the deals.
Now when you see a price at the grocery, whip out your price book and compare what you see with what you have seen.
FYI - don't limit yourself to groceries. Works for gas, too.
http://www.stretcher.com/stories/990208m.cfm
http://www.stretcher.com/stories/971124a.cfm
http://www.stretcher.com/stories/971013b.cfm (Read this one first - its a classic)