We typically do every 2 weeks, and up it to every week in the summer because we get sweaty even while sleeping. This is only for the flat and fitted sheet + pillowcases - the duvet cover/blanket on top gets washed less often, say once a month maybe? since we're not touching it directly because the flat sheet is in between. I would change them Sunday night to start the week with fresh sheets and because doing it on a set day helped me to remember.
Now that is our "normal" routine, but since DD has arrived 3 months ago things have been a bit hectic so it is much less often - whenever we remember and have the energy, lol.