Checking down when someone's all-in?

[TheCutter]

I know this is some kind of an unwritten rule - but how often to keep to it? For example:

You have like 9000 the others 1000 and 3500, the 3500 player puts the other all-in pre-flop and you call with JJ and hit a set. Will you still check it down? How about bluff-not-checking-down?