According to my handy dandy Haynes manual, my '96 zx6r needs new fuel filters every 8,000 miles but should also be checked periodically to make sure that they aren't clogged.
So far this year I have put about 3,000 miles on her, so it seems to me that every year I should change the fuel filters, but that seems kind of extreme. I would recommend at least checking them twice a year and replacing them as you see fit.
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