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Many couples skip this step and go directly from a steady relationship into marriage. I feel it is important to live with someone first, to get to know what they are like day-in and day-out, and to see if this is something you are willing to deal with.
There are some who say it is better not to know, and to learn after you're married, but this is not a car that you will retire after a decade. This is a permanent joining of two people. Both people *should* know everything there is to know before dedicating their entire lifetime to this person.
Many traditions about marriage were made when married life involved only 20 years or so of time, and when often the entire time was spent apart from each other in "jobs" (work or home) that took up the entire day and night. With life spans being much longer, and free time and "enjoying each other" being so much more important, it's key to be sure your partner is one you can truly enjoy for the remaining years of your life.