If you always install apps from Google Play, you mostly shouldn't be worried about malwares (except some minor threats which are often warned by Google and pulled-off instantly when detected).
But, if you install apps from other markets or just install APK files by yourself, you should take some actions to protect your phone from malwares:
First: Never try to install apk files downloaded from untrusted sources, websites, markets, etc..
Second: if you have to install apk files by yourself, or you have to use other markets than Google Play, make sure you have installed a good and updated anti-virus, and make sure to update it regularly. I recommend either Avast or Lookout (both are free). These anti-viruses have an option to check each software for malwares, just after they get installed on your phone.
Third: Any android app, can only access to sensitive areas of your device, ONLY if you allow it just before installing! which are called
permissions. If you see that an app requests some permissions which normally doesn't match with characteristics of the app, or goes beyond the functionality of the app, you should take care and either not install it or ask the developer to describe why it needs that permission.