On all of my vehicles, I change my air filter at every oil change (every 5000 miles, which I do myself).
I once saw on PBS's "Motorweek" about how important changing the air filter is. Some people worry so much about oil, etc., but don't think about the dirt actually getting inside the engine. Or how much the airflow is being restricted by a dirty filter.
Do you change your oil filter at every oil change? Clean, unrestricted air flow is just as important to your engines longevity as clean, unrestricted oil flow.
Regardless of what the manufacturers are saying nowadays with these extended service intervals, I wouldn't "cheap-out" on waiting too long to change your filter.
Disclaimer: Your mileage may vary....