When I do it, I get an email and then my page says "1 item for approval" and it doesn't appear until I say yes. If you put your settings on that page to "me only" no one should be able to see that tag from your friends list either.
So I did it, and what happened was I got an email whenever anyone tagged me but there was never an option to approve it or not. As far as I could see, the posts with me tagged in them appeared anyway, but I got email notification. Hmmm.
I find this really annoying. Friend "checks in" to place and tags me there too. How can I stop this? I know that in theory she can also tag me in a regular post and just say "I'm at XYZ with HopeForTheBest" without the checking-in crap, but this is still pissing me off. I have found loads of instructions on how to do it but they all seem to refer to an older version of the Privacy Settings where you can customise Places I Check In To and also where friends can tag you - I don't seem to have any of those privacy options any more.