You will probably get answers all over the board with this one. Anywhere from a few months to whenever it breaks down.
It all depends on how you run your machine. I would advise at least once a year. If you run 24/7 and/or push it hard, you may want to do it sooner.
If you are a hobby shop, then you could streatch it out longer, but you probably have more free time to look it over anyhow.