Like every 300 miles or so. Clean off the old stuff first using something gentle like Simple Green and an old toothbrush and rinse with water. Let the chain air dry and reapply the lube and let it dry.
I recently began using Liquid Wrench Chain lube. There's been discussion on several forums as to whether it works of not. I have found it to be just fine. It does leave a white look when dry, but it has worked fine and as with PJ1, it does not fling off once dry. Side Note: I've only applied it to a warm chain.
One man told me that they used WD40 on their competition bikes, because it penetrated properly, and because it was thin, it washed the dirt out of the chain. It also displaced water when they power washed their chains, which of course, is the name of the stuff, Water Displacement 40. I don't use it, because my bike as a driveshaft, so whether or not his statement makes sense for a street bike I'm not sure.
hmmm, WD40, cheap and widely available, I was a the auto parts store last time and looked at the various lubricant and the WD40 label specifies use for chains. If it works well, I wonder why anyone would use expensive product instead. Maybe I'll pick up a can next time from the grocery store.
I can tell you why - people listen to too much hype rather than read the label. I started using WD40 on my bicycle chain after I heard that, and my friend insisted on using the $8.00 for 2 oz. lube. Guess who's chain lasted longer. Yep, mine! That oozy stuff that's supposed to stay on the chain never got into the joints, and he was buying a new chain in less that 500 miles. Mine has almost 3,000 miles on it and still going. By the way, before buying my motorcycle, we biked 50 miles per day during the week and 100 miles each day on weekends. I got tired of aching muscles and sore knees! So, I bought a bike with a motor!