Sorry guys you are both incorrect.
START using a test lamp and not a meter. This is because you could have a short "trying" to burn down the main battery cable of hundreds of amps, and using a test lamp will not hurt anything, including the lamp. It is it's own "self limiter."
If you cannot SEE the lamp glow, or it's so dim that it's difficult, THEN switch to your meter, but set the meter to the HIGHEST current (amperage) setting on the meter. ON most meters this will be a separate probe jack for 10 or 20A
If that reading is low and difficult to resolve, THEN drop down to milliamps, (thousands of an amp)
Most meters have a high end milliamps scale of at least 200 ma, which is .2 (nearly 1/4) amp. Most tests lamps draw MORE than 200ma, so if the lamp is glowing brightly, don't hook your meter up to a 200ma scale, if that is the most your meter will handle.
On the "typical inexpensive meter" below, you can see that 10A is in RED, and there is a separate probe jack, top one of the three.
Then the meter drops from 10A all the way down to 200ma, when you must switch the probe to the middle hole
Also, along with pulling fuses, don't be afraid to pull relays. Most newer rigs have a separate fuse panel as well as a box under the hood.
Also one of the "second" things I do if no fuse or relay solves the problem is to pull the alternator wiring. On older cars like our A bodies, all you need to do is disconnect the output wire from the stud. "Leaky diodes" in the alternator.