For most people, never is the correct answer. It just isn't something they think about doing until the brush is disgusting, and then most people will just throw it away rather than trying to clean it.
I'm here to tell you that makeup brushes need to be cleaned on a regular basis. Just like you wash your towels and wash clothes and for the same reason. Makeup brushes collect bacteria when used on your face, dust when sitting on your makeup counter, and, if you keep your brushes in your bathroom like most of us do, they can even collect bacteria from the water your toilet sprays every time you flush it. You've heard that you should always keep your toothbrush at least 6 feet from your toilet? That goes the same for your makeup brushes. YUCK!!!!
The dust and bacteria your brushes collect are then deposited back on your face every time you use them. This can contribute to causing or worsening acne breakouts on your face, and I'm sure none of you want that. Plus, cleaning your brushes helps maintain their longevity. The brushes I'm going to be cleaning here I got in early 2008 and they look brand new because I maintain them.
How often you should clean a brush depends on what sort of brush it is and the type of makeup you use it for. Brushes used with liquid or cream makeup such as foundation, concealer, lipstick, etc... should be cleaned on a weekly basis. Brushes used only for dry powders such as blush, eyeshadow, setting powder can be cleaned on a monthly schedule. If you apply a powder makeup by wetting the brush you should clean that brush on a weekly basis as well.
If you use a makeup sponge or a rotating facial cleansing brush such as the Clarsonic brushes those should be cleaned on a weekly basis as well.
Cleaning your brushes is easy and inexpensive. I spent 10 minutes cleaning 13 brushes, an eyebrow comb, a makeup sponge, and the rotating head for my Clarsonic knock off face scrubber. The only reason it took me that long is because I stopped several times to take pictures for you.
I use baby shampoo to clean my brushes with. It is very gentle, cleans thoroughly, rinses easily, and is dirt cheap. Any brand will do, I bought the cheapest bottle I could find, it was about $2.25. Dedicated makeup brush cleaner costs a whole lot more and is no better and sometimes a lot worse for your brushes than baby shampoo.
In case you are worried about entrusting your fancy brushes to cheap cleaner fear not. The brushes I am using and have used since early 2008 are incredibly expensive Aveda brushes. They cost $5000 but I did get a free Aestheticians education/license with them. ;) They are one of the most expensive things I own so I take VERY good care of them.
Here is my setup. I have my brushes, a clean towel, some twine, scissors, baby shampoo, a CLEAN sink (no point in washing brushes in a dirty sink), and clips which I forgot to put in the picture.
First thing I do is put some lukewarm water in the sink. You don't want hot water because that can loosen the glue holding the bristles in the brush. You also don't want cold water because that won't clean as well. I add a dollop of baby shampoo and swish it around after the sink has been filled. If you do it before or while the sink is filling you get to many bubbles and you don't need bubbles. Then I dumped my rotating brush, comb, and makeup sponge in the water.
Never drop your brushes into the water. Getting them too wet can also cause the glue to soften. And depending on what the handle is made of it can cause that to be damaged as well. Most of your powder brushes will only need to be swished in the water to be cleaned. Brushes used for liquid or cream makeup will likely need scrubbing.
To scrub a brush put a tiny amount of shampoo in the palm of your hand and swirl the brush around in it gently. Be sure to work the shampoo into all the bristles. As you finish with each brush lay them on the towel, we will rinse them all at the end. I also scrubbed my makeup sponge and the rotating head this way.
After all your brushes are cleaned, empty the sink and run each brush under the water to thoroughly rinse it. You want to make sure all the soap residue is gone or it can make your brush sticky and prone to collecting more dust. Because I use baby shampoo my brushes rinse out quickly. This is what the water looked like after I cleaned my brushes. Remember, most of my brushes are cleaned monthly and some weekly. If you haven't cleaned your brushes in a while be prepared.
After the brushes have all been rinsed I hand them to dry. I cut a piece of twine, tie each end to a clip and hang it over the curtain rod of my shower. I then clip a brush to each one. I do this so that my brushes don't lie on once side creating a flat spot and to keep water out of the ferule (the metal part holding the bristles in) to keep it from rusting, and to keep the glue from softening which causes bristle shedding.
The sponge, rotating brush, and comb dry on the towel. The rotating brush dries with the bristles pointing up so they don't get flat spots. The rotating head doesn't have glue holding the bristles in so I don't need to worry about the glue getting wet and releasing the bristles.
In a few hours my brushes will be dry and I can put them away all nice and clean for the next time I need them. However, remember what I said about keeping brushes 6ft away from the toilet? Yeah, be sure you use a different bathroom or if you only have one, hang your brushes somewhere else. No sense in getting toilet germs on freshly cleaned brushes.