Definitely discuss the play exam beforehand, set any boundaries, and, depending on how involved it's going to be and what elements will be included, it's always good to establish a "safe" word. I would not recommend including anything that could pose a health threat or complication (even if she requests it) unless you are experienced and know what you're doing, and can do it safely (this basically refers to injections of saline, which some play exams include).
If restraint is to be included, make sure it's okay with the patient before you begin. (You don't have to tell her it's a definite thing if you might use this as a surprise element to give the experience more of an edge, but you should at least run the possibility by her and see if she's open to it, along with all other possible elements in a general way. With a safe word, should she become uncomfortable with the procedures, she has an out while avoiding detracting from the realism. For example, if she initially agrees to be restrained, then when the time comes she pops the safe word, you can simply adjust your itinerary without ending the session.)
As with any real medical procedure, make certain that all tools and anything that will come into contact with the patient is clean or sterile, as purpose dictates. Having a frank discussion and setting the ground rules first allows both parties to assume character when meeting for the exam. Even if she's your lover or steady companion, if you want the experience to be as genuine as possible, act accordingly. Greet her as a doctor would greet a patient when she arrives, possibly addressing her as "Ms. ___." She should, in turn, address you as "Dr. ___." You might want to supply some actual forms for her to fill out before the exam begins.
When she enters the exam room, first check her temp and BP, and possibly her weight, as this is standard with most exams, while she's still in her street clothes. At this point, you might verbally go over her forms and info, as any physician would do with a patient (especially a new one), taking a little extra time to establish your character identities. You might have her provide a urine specimen beforehand, as this too is done in many cases.
Once this exchange is covered, you may ask her to disrobe for the exam itself, possibly (and if possible) leaving the room while she prepares herself. It really comes down to how much time you want to spend and how much detail you wish to include, but my experience is that the more detail the better. I wouldn't go straight to the breast and gyno portion, but would first go through the usual steps, checking her eyes, ears, nose and throat, stething her, checking her lymph glands, pulses, reflexes, and so on. Have her lie back and check her stomach and abdomen. Check her extremities.
You'll know when the time is right to move on to the breast exam, and then the pelvic. If she agrees beforehand, include a rectal exam. And be sure not to get so caught up in it all that you miss her safe word, should she use it. A little nervousness on the part of the patient heightens the overall experience, but keep in mind this is a play exam and is supposed to be both thrilling and enjoyable.