It all depends on how frequently your family uses your home heating system. You might consider changing your filter less frequently if you are likely to be away from your home for extended periods during the cold months. You may be able wait longer between filters changes if you don't often leave the house.
A typical furnace filter lasts approximately three months. You should replace your furnace filters every three months.
Check the manufacturer's guidelines for when you should change your filter. Manufacturers recommend changing your filter after each heating season. Other manufacturers suggest waiting until visible dirt builds up.