With the increasing interest in using (d,p) transfer reactions to extract structure and astrophysical information, it is important to evaluate the accuracy of common approximations in reaction theory. Starting from the zero-range adiabatic wave model, which takes into account deuteron breakup in the transfer process, we evaluate the importance of the finite range of the n-p interaction in calculating the adiabatic deuteron wave (as in Johnson and Tandy) as well as in evaluating the transfer amplitude. Our study covers a wide variety of targets, as well as a large range of beam energies. Whereas at low beam energies finite-range effects are small (below 10%), we find these effects to become important at intermediate energies (20 MeV/u) calling for an exact treatment of finite range in the analysis of (d,p) reactions measured at fragmentation facilities.