A common rule is to check your tire pressure once a month, but who wants to do that? Unfortunately, even this may not be enough. Ultimately you decide how often to check them, but it's worth doing a visual inspection every time you approach the car (compare the front tire's contact patch to the rear tire's contact patch on the same side and see if it looks lower). However, with modern low-profile tires, the difference is not as pronounced as it once was.
In addition to the pressure changes caused by temperature fluctuations mentioned above, tires usually lose a little air through normal leaks. Worse yet, they may also lose some due to slowly leaking nails or screws in the tires, or from severe road shock, such as hitting a pothole. So even if you live in a very mild climate, the pressure will go down over time, which will most likely be less than a month.
As for the actual tire pressure check, due to temperature changes it should be at least a warm day in late spring and a cold day in late fall with future temperatures in mind.
For example, if it's 32 degrees on a late fall day and you know freezing temperatures may be coming, you may need to add some extra psi to compensate. It's not a problem if your pressure is a little higher than recommended as your ride will mostly be slightly harder.