How often should you clean your make up brushes?

Often! Dirty brushes, powder puffs, and sponges are not good for your skin. Puffs and sponges are more disposable (in most cases) and should be replaced after several times using them. Also, they do not dry easily after cleansing and they are significantly cheaper than a quality set of cosmetic brushes.
A dirty makeup brush is not only unhygienic but is quite likely to worsen or cause more breakouts, rashes, etc. Therefore, you should always clean your makeup brushes as they almost always have build ups of makeup, oil and bacteria. Once every 2-4 weeks should suffice for most people. However, there are some exceptions: if you use every day a foundation brush or concealer brush, you should clean them everyday. There are several products easy to use like, for example, the Sephora Daily Brush Cleaner To Go or Bare Escentuals Quick Change. You just put some of the product on a tissue and then wipe the brush! Also, these products are pretty affordable. However, if you want to clean them away better, there are many brush cleaners available. Two excellent brands worth mentioning are Masters Brush Cleaner & Preserver and "Pink Soap" Artist Brush Cleaner and Conditioner. They both clean and rinse out very well. They are available at any good art supply or cosmetic store. Other option is using a good quality baby shampoo. Johnson's Baby will do the job! Let brushes air dry. I do not recommend using a hair dryer to speed the process up. Heat damages brushes much in the same way it does hair and can cause the glue that binds the brush to it's handle to melt and ruin the brush. Finally, you can use make up wipes also pretty effective.