Depends on your machine and the type of filter.
For the Philips Respironics machines they have one foam "permanent" filter, and one paper "allergy" filter. I change the paper filter about every two weeks as recommended. My house is pretty dusty and it's definitely turning grey when the two weeks are up. In a cleaner house, you could probably go a bit longer.
The foam filter should be rinsed weekly and replaced every 6 months. You can probably get away with using it longer than 6 months, but I find it's getting a bit stiff and misshapen about that time.
But your machine filters may need a different schedule. I'd try to adhere somewhat closely to the manufacturers recommendations--you may THINK the performance of your filters is fine well past the recommended time, but some of the clogging could be less noticeable, and that can make your CPAP's motor work harder, heat more, and shorten its life. It's like giving your machine its own case of OSA