Vehicle maintenance schedules vary on how often the air filter should be changed. On most Chevrolet engines, for example, the recommended interval is every 45,000 miles, but Ford says it should be done every 30,000 miles on many of its engines. Hyundai also says every 30,000 miles but shortens it to 15,000 for "severe" driving conditions, which includes heavy traffic in hot weather and frequent driving on unpaved roads or dusty conditions.
You might be able to tell by looking when a filter needs replacing, such as finding black areas on the section through which outside air enters. Air filters on most engines are fairly easy to access, and you can check the location in your owner's manual if you need help.
If you can't tell by looking, but it's been more than three years or 30,000 miles, you probably should get a new one (especially if you can save money by doing it yourself). However, you should be leery if every time you get an oil change the repair shop says you also need a new air filter. We would expect most drivers can go more than a year, at least, and probably more than two years.
A clogged air filter won't significantly affect fuel economy, according to a 2009 study conducted for the U.S. Department of Energy, but it can hurt acceleration by 6% to 11%. Acceleration is harder to measure than fuel economy, so you may not notice a gradual performance loss. For that reason, it's a good idea to periodically visually check the engine air filter.