About once a month. I agree with both suggestions from Wayne and Pete. When changing strings, loosen them until there's no tension at all and then loosen them some more to get "play", push the string down into the body of the guitar by hand, pull the pins out with the winder thingy. Remove the string, loosen it from the tuner, then lay it aside.
I usually loosen all six of mine first, then go back and do the second loosening to get slack in them, and then remove all six laying the pegs out in order so that I can put them back into the same hole. By doing this, I can inspect and thoroughly clean the entire fretboard at once.
You don't want to leave a guitar without strings for long. Once it's cleaned up (a few minutes task), then put the strings back on. I usually go from low to high. When first installed, I tighten the strings only until starting to get a tone. I do all six that way. Then I come back around a few times tightening them up a little at a time until it's in tune. I retune frequently for the first couple hours until I'm barely making adjustments after 1/2 hour of rest.