Check the documentation that came with your furnace. Recommendations vary based on a number of factors: the type of filter that you use, how many pets you have, whether anyone in your home has allergies, etc. If you use disposable fiberglass panel or electrostatic panel filters, you should change them anywhere from once a month to once every three months. Pleated filters generally last from 3 months to 6 months, again, always check your filter monthly, no matter what type filter you use. Filters are relatively inexpensive and easy to change, so there is little reason to wait. If you don’t change or clean your filter often enough the filter can get clogged with dust and other airborne particles, forcing your furnace to work harder to maintain airflow. This will reduce your furnace’s efficiency and can cause damage.