I usually try to lube every other time I fill up, which is about 300 miles for me. Somewhere between 300 and 500 miles is probably a good increment. For what it's worth, I used Dupont Teflon spray and my chain is done at 6500 miles but many people with many bikes and more miles swear by it.
Check your chain slack often. I believe the owner's manual has a procedure for this. I do this the way Pete Snidal recommands it for the older bikes: on the centerstand, wheel off the ground, shock extended, set to 2" of slack. This seems to set it nicely with enough slack not to bind and not so much it grabs when going from accel to decel or vice-versa.
When new, you'll need a few chain adjustments early on. Then it should settle in and only need one once in a bit. If you start needing them more and more frequently start shopping for a chain.
I do a mini-clean on my chain every time I lube it. Spray with lots of lube, rub down with a rag to get any funk off, spray again lightly and wipe off the back and sides lightly. If it gets really cruddy you'll need a full clean with degreaser but with a modern o-ring chain and dry lube this is rare.
Inspect your chain when you clean and lube it. Does it get tighter and looser as the wheel goes around? Are there frozen links that don't move freely? More than 2 or 3? How do the sprockets look? Are the teeth pointy and/or hooked in one direction? Can you pull the chain away from the back of the rear sprocket and see daylight between chain and sprocket? These are all signe that your chain is going south. And if your sprocket is hooked or obviously worn it's going too.
There is a spec for max length of so many links in the factory manual but even if that's within spec but you've problems like those above you're on way to a new chain and maybe sprockets.
As things start getting worn they will start to wear more quickly so fix them sooner rather than later. I'm a fan of replacing the chain and sprockets all at the same time as a set to get max life out of all of them. My chain is going but my sprockets look pretty good so I'm just replacing the chain this time. It's for cost reasons and a little experiment. A brand new DID non-O-ring chain (high quality stuff) only cost me $40. A new x-ring chain would be about $120 with more for 2 new sprockets. I'm going to see how long the non-O-ring chain lasts and how much of a pain it is to take care of. If it last long enough and isn't too annoying to care for I may not bother with O-ring chains any more and save some cash.
Scott