Mazda says 20K miles
I'm not a huge modder, and I've only had my OEM CAI for about a month, but the documentation that came with the parts says to remove and clean every 20K miles. I live in a fairly dusty place, so I'm going to look closely at it whenever I have the lower shield off the car (during oil changes, etc).
I also bought a replacement filter, figuring I'm planning to keep the car forever so I'd probably buy a replacement eventually. Why not get it now and pop it on at the cleaning interval? The car is then ready to go immediately instead of waiting for the soak-and-dry, and I can very closely inspect the removed one instead of rushing to get it back into the car.