I try to rinse off the filter media every water change or two. So at least every other week. It's good to check on the media every once in awhile just to make sure they're not clogged with particles. If they're clogged, it slows water flow as well as suffocates your good bacteria (they need fresh water because they need oxygen to do their thing).
I also take apart the entire filter about once a month. I clean all the filter tubes and scrub the inside out for algae and crud. Like I said, it's important to maintain good flow. Some people forget to do it for months and the flow stops to a trickle, eep!
Make sure you rinse your media in tank or other dechlorinated water. The chlorine and chloramines in tap water will kill off your colony of good bacteria.