While the suggestion in other questions to use Google Scholar might be good in other fields, I take from your question that you are in hep-th/gr-qc. In this case, keeping up with new postings on the ArXivarXiv is the way to go. Anything worth your time will be posted to ArXivarXiv and this is generally the first place it will appear (Google Scholar alerts tend to be at least a couple of days behind the curve).
I personally just follow the daily digest e-mails. It is easy enough to do, and the mail sits in your inbox as a reminder that you haven't read the arxivarXiv yet that day. However, there are more fancy solutions. One some of my colleagues are very enthusiastic about his Benty Fields. Besides simply reading the daily digests in a nicer format, the site can track your interest and recommend papers you are likely interested in. I've tried it for a bit, and found it was very nice. Nonetheless, I have reverted to just using the plain digest e-mail, as they fit my daily work flow better.