Ken, if there's no unselected geometry attached to the selected stuff when you are making the component, the Replace Selection with Component box will be automatically checked. If, when you are making the component, that box is not checked automatically, it is your clue that you have unselected geometry attached.
There are times when it is handing to select only part of the geometry you have drawn for making a component. An example in my work flow is crown moldings around cabinets. I'll often draw the crown around the three sides of the case using Follow Me and then, when I know I have the correct profile, I'll split it into components so it will be accurately represented in the cut list. For most parts however, I draw one the geometry for one component before I move on to the next part. I generally use a triple click of the Select tool on the geometry to ensure I get all of the attached geometry selected before I make a component. Making one component at a time in most cases is easier and there are fewer chances for errors.