A dirty filter is the main cause of preventable service calls and can shorten the life of your furnace.
If your filter looks like a big gray cat you have waited too long to change it!
Seriously though, a dirty filter causes a loss of airflow in your duct system causing the furnace to cycle on the safety controls, which only lasts so long then the furnace will shut down. At minimum the filter should be checked every 3 months and probably replaced then. If your filter is easily accessible, use your gas bill as a reminder, check the filter then you won’t forget and go too long between changes.
If you have air conditioning it is important to keep a clean filter during cooling season as well as your furnace fan is what distributes your cooler air through your house.
If you are doing any sort of remodeling in the house it is a good idea to change the filter right away and often during the project.