I think of it as being similar to the idea of knowing you're having a hallucination. I tend to know when I'm hallucinating because I can reality check and ask the people around me if they heard/saw what I saw. Or things will just be completely out of context, like radio music at 3am that sounds like its coming from downstairs where there's not even a radio.

Also DBT has taught me that you can hold two contradictory ideas in your mind at once. You can believe in your delusion and believe that your delusion is false by reality checking. The time I had a delusion that my cat's evil shadow twin (a hallucination) wanted me to jump off my roof, I was able to recognize that that was insane even though I believed it to be true as well. I thought to myself "My thinking is insane".