The short answer is YES, do it. Every month is good, or at least whenever it starts to get clogged up with dirt and pet hair.
Studies have shown that changing your filter does not improve the efficiency of your furnace (although that still seems wrong to me). What changing your filter does definitely do is to relieve the strain on your furnace from struggling to push air through a clogged filter. That strain will eventually lead to the untimely death of your furnace as the blower motor pushes against a pressure it wasn’t designed to deal with. That’s why you change your furnace filter.
And yes, it does help to keep the air in your home a little more dust-free, but really that is only a secondary effect.
Now that you realize how important it is – and did I mention how easy it is, too? – to change that furnace filter, maybe now you’re wondering where it is? Well, it might take a little searching but it’s almost certainly in one of two possible places. The most likely is behind the return grill, which is a large metal grill in a wall or ceiling (maybe your floor). Sizes vary but roughly in the range of 2 foot by 2 foot.
You might have more than one return grill in your home, so check them all. If it’s not there, it’ll be at your furnace. Look for a little slot at the return plenum. That’s where your cooled air returns to be recirculated. It should feel cooler to the touch than the supply side, where the newly heated air is being sent into your home.