In the "Bachelor Home Companion", PJ O'Rourke advises that the optimum frequency is "once per girlfriend".

That's the truth. I've meet so many people that don't do this. But the worst, when they do they use the same beddings. I just recommend you use as many colors, and quantity you can.

Apparently in the UK 1 in 3 people change their bed sheets every 3 months. I can't find the source but I read this somewhere a couple of years back or so...