Often there's no need to send indicators, micrometers, calipers, etc. to gage labs in order to have them calibrated. Gage blocks and standards, on the other hand, must be sent to a lab which specializes in this procedure.
Your gages, instead, can be calibrated in your own shop, and in fact, should be calibrated in your own shop. Ideally, every gage should be calibrated before every use. Only in this way can you be sure that your readings are accurate. Even to comply with various ISO requirements all you need is to label each tool with a serial number and then keep written records of when, where and how often you calibrate them.
In most cases, all you'll need is a set of gage blocks which have been certified. Even inexpensive gage blocks can be used for routine calibration.
If you're not inclined to calibrate before every use (no one really is) then standard procedure is to calibrate every few months depending on use and wear. If your gage is in constant use then you must choose a more frequent interval.
Herewith some general instructions and guidelines.