The textbook answer is use them once only. I must admit I use mine for up to a week at a time but it's a personal thing. I'm not suggesting others do the same.
I change mine when they go blunt.
Then again, I change bathrooms, kitchens, replace sewer pipes, repair drainage, crawl under rough floors and floorboards, and generally take lumps out of myself everywhere, so my own used lancet is luxury by comparison.
I would definitely change it daily, I was advised to do this by my DSN for hygiene reasons and also because the needle will lose its sharpness. I am guilt of forgetting from time to time though!
Customer helplines that use recorded menus that promise to put me through to the right person but never do - and being ill. Oh, and did I mention customer helplines :)