I use universal needles as well. As a rule I change out the needle with every new project. About every 20,000 stitches for embroidery (sometimes a little more. I listen for that thud pcteddyb talked about too) and any time the machine just doesn't act right. Somewhere along the line someone told me that 90% of sewing machine problems were related to the needle and its been so for me.

Oh, and I change them when I hear the faint clickty click that the dealer told me about years and years ago. Probably works out to about every 8 hours of stitching.