Re-gripping your clubs is extremely important for consistency in your game. How often it should be done will depend on the amount of play and the type of grip you use, as well as weather. The more often you play the more often re-gripping will be advantageous. Obviously some grips wear faster than others. That being said, I think a minimum of twice a year is a fairly basic schedule to follow.
I would also note that I have an extra wrap at the bottom of my wedge grips, so if I choke down, I still have the same size grip. If you choke down on clubs on a regular basis, you might want to try this technique.