Typically shops will change them all out at the same time. You can if you don't want to mess with changing the individual items as they wear out. Years ago I'd change plugs, cap, rotor at the sametime, but I could get a cap for $3, and a set of plugs was a dollar or two.

Now I just do whatever I feel like. Sometimes I change them all out, but more likely I just change the item as it breaks down. The ignition items wear at significantly different rates. Sometimes after a single hard driving episode I can get missing from the plugs. I typically get very high mileage from my distributor parts and wires. From time to time I'll clean the green from dist cap with some emory cloth and polish the rotor. That reminds me that I've even have a plug cleaner around somewhere.