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I change mine about every oil change. I notice that fuel mileage and just general engine performance is dependent upon a clean fuel filter. I get them for 15 bucks and I figure it's worth the time to change it to prevent any problems. If you don't change it every time you change the oil, it's a good idea to drain the fuel bowl of any water. Sometimes even though there's water in there, it's not enough to make the "Water in fuel" light come on. The drain lever is on the back of the water separator housing and is a yellow. Drain it until there is pure diesel coming out. The electric fuel pump will fill the bowl back up when you turn the ignition on and wait for the glow plug light to go out.
I got my fuel filters from Shop Diesel.com for $15, and they are exactly the same as the Napa ones - just without the Napa box. Exact same little instruction sheet inside the plastic wrap. I change mine every 10,000 and like Basstardo said I just figure that it's better than having a problem!
I change my fuel filter every other oil change or 10K miles. Don't know that this is necessary, but I'm always amazed at the amount of grit in the bottom of the bowl every time.
Good to know where to get a cheaper one. I just paid $70 for one at the dealership as part of the 45,000 mile service. Was the first and last time I was going to the dealership anyhow, 1st oil change was free. Guess I just put a SUCKER sticker on my forehead.
Thanks for the info CAT-MAN. I will start changing filters everytime I change my oil. Also I have just completed the Banks Stinger upgrade to my 2000 F350 crewcab and its quite an improvement over stock.