The filter should be cleaned once a month for general guidance, but this depends on how often you use your vacuum cleaner. Some of the more advanced Dyson stick vacuums even contain sensors which will tell you when it’s time to clean the filter via the display.
The rest of the Dyson vacuum should be cleaned as and when required. Make sure you empty the canister as soon as it’s full so it doesn’t form a blockage. If you notice your vacuum stops working even though the canister is empty, that’s another sign that it needs a clean.