In short, every 3 months for someone who is really concerned (regarding identity theft, etc.) or at least twice a year for others (those looking to improve their credit, or just for general check ups).

There are several resources where you can order your credit report for free, and since all you want is to proof-read it against potential identity theft, you do not need to buy credit scores.  For starters, you should get a free annual credit report once a year.  There are several good services that offer protection against identity theft AND a free credit report, including SmartCredit.