I check them about every two weeks on the BMW. That is how long it takes for the left rear tire to drop from 36 to 30psi which will trigger the TPMS warning. It is a bad tire that has leaked since it was put on. We had it moved to a different rim and the leak followed the tire, but our local tire shop cannot find a leak - I assume it has to be rolling under load to leak. The other 3 Conti's lose a little air and need to be added to every couple months - they will lose 6 psi in that time. It could be the wheels or TPMS seals, etc., but we need to keep an eye on them.
The FX has a digital readout for each tire on the dash, it has Yokohama Parada-X 's, they lose very little. I typically have to add air when the temperature drops, then they will stay in range for the rest of the year.
On my G35 I have to add air when it gets cold and let air out when it gets hot. They typically do not lose any air. That was with Goodyear F1 GS-D3's, Michelin PS2's and Michelin Pilot SS's. With the Continental DW's I had to add air about once a month, which seemed totally reasonable. I check them about once a month or before I abuse them.
What is interesting is watching how much tire pressure drops when you are on the highway and go into a rainstorm that drops the temperature from 90 to 70 degrees. In the FX it is not uncommon to see a 4 psi drop with the cold wet. I assume tire temp drops much more significantly with the water cooling them, I also imagine the asphalt temp drops from over 140 degrees to about 90.