I change mine every other year, about 20,000 mi.
Change Instructions:
It is located inside the driver's side frame rail next to the transmission, inline with the fuel hose.
To undo it, you need some plastic collars to slip over the filter barbs and undo the clips inside the hose connectors. These can be purchased at any autoparts store, usually for under $10, in a blister pack "A/C and fuel line Disconnect tools"
Once you have the disconnects, the filter, some red rags, a flashlight, a fire extinguisher, some water and a drain pan, look under the glovebox for the fuel pump emergency reset switch. Unplug the harness, and try to start the X. This will kill most of the pressure in the line.
Jack up the X if its low, and place the drainpan under the filter. Use the clips to detach the fuel lines, and unsnap the filter from the mounting bracket.
GAS WILL LEAK OUT. Be careful, an 87octane shower is not fun. Use the flashlight under the vechile.
Put the new filter in, making sure the lines are TIGHT. they will "click" in place. Douse the entire area with water, hitting every spot fuel dripped on.
Reconnect the fuel pump disconnect harness, let the water evaporate, and you're good to go.
The procedure takes 15min.
(200th Post!!!)