For filters 1″ thick or less, you should replace them once a month. For thick filters you can go as long as 90 days.
Most people completely forget they have to, so try to replace them annually with your smoke detector batteries to remind yourself.
If you are doing drywall work, mask off the vent and the cold air return for that room while you are doing the work. The dust will quickly clog your filter and remain in your vents for years if you let it.