It depends on how dirty the filter is. If you live in dusty/dirty areas, you'll need to replace it quicker. Replacing an air filter is probably the easiest maintenance you can do on your car and is a timesaver in most cases. Changing your own oil isn't always a savings - depending upon how and how much you value your time.
I know WalMart will change your oil if you bring in your own oil and filter. I think they used to charge me $9-$10 for that. I bought about 20 quarts of Motorcraft syn-blend 5w20 for $1/quart (was on clearance) and get a Mobil1 filter for about $7 I think. Costs about $20 for what most places charge $45-$55 (syn-blend/synthetic oil change). Walmart does tire rotations at some ridiculously low cost, too. Something like $1-$2 per tire. lol. It's no wonder every Walmart auto shop is packed within 30 minutes of opening.