Are you stretching the strings properly when you first put them on?
Guitars will go out of tune slightly even after a couple of days because of temperature and humidity changes, but if it's drastically going outa tune, you might need to wind them better and fully stretch the strings.
As far as how often to change, it depends on the use.
Just for practice you could leave em on for months if you don't mind them getting a little dull. If you're recording or playing live though, you might wanna change them before each session.