Fuel filter mileage:
30,000 miles on really clean diesel
10,000 miles on cruddy diesel
25 miles on Dastardly Dan's Discount Diesel
Does that help?
Seriously though, I do mine when I feel like it, roughly once a year. They are cheap, and what I fear more than clogging, is one of them breaking internally and dumping crapola into the injection pump.
I just changed them the other day, after having gone 19,000 miles on both the primary and the secondary. The car ran just fine, but I changed them cause it was a nice day, I was under the hood anyway, and am taking a long trip soon, so want to hassle with as little as possible on the road.
Also, I'd recommend doing a Diesel Purge right before changing your filters, since you need to change filters after a purge anyway, so might as well do it right before you were going to change them anyway.
Also, clear fuel filters are much handier than the opaque white ones. Dieselgiant.com has the clear ones for a good price, though you can get them lots of places.
peace,
sam