When I need to.
This is very rare. I like to use the "desk" analogy for my desktop space. I have no background (I run Ubuntu, and just use the default [in Windows, I just have a solid colour]) as I do not think that having a desktop background has a point. I have a piece of
software to view images, I do not need to view them on my desktop.
I have some icons on the desktop (only files, etc. that I have to access enough for them to warrant the valuable space upon my desktop [they are moved after a while]).
For icons I might change the desktop every few days or weeks due to new work coming up, or needing to store files for transfer in a semi-permanent place.
It is not important for me to change the theme unless I believe that the theme I am using is causing me problems, or is causing my computer to run overly slowly.
I find it odd that people have background images, and often I find that themes people use are not great as well. It is no problem for me. I simply use a very basic looking desktop as I have no need for anything other than that.
Angus Higgins