I generally do the start of the season and any time I, or someone else, has removed or replaced a wheel for whatever reason (suspension/brake work for instance). Sometimes the start of the season one gets omitted. Tire pressure gets checked far more frequently.
As I understand it, they particularly want checks when the vehicle is very new to ensure that things don't get loose as they work into position or something roughly along those lines. In any case, it's not too hard to go around with a torque wrench and give each lug nut a push until it clicks. I think they recommend checking a bit more frequently when the vehicle is quite new, maybe?