It is VERY important to change your filters to keep your system working effectively and efficiently, however it is also important to do it correctly. Most filters are actually directional and you will need to determine which way air flows to install them correctly. Follow this link it gives you a How to determine air flow when changing filters.
When replacing filters it is important to keep air flow in mind. Furnace and air conditioning filters are used to keep dust out of your home and your system. They also help to keep allergens out of your home. Some units have a permanent or washable filter, these need to be cleaned as regularly as you would replace a disposable filter. Disposable filters come in many types and efficiency ratings. Efficiency ratings in filters determine what size of particles are removed from the air. More expensive, higher efficiency filters aren’t always better, most will filter out higher levels of dust and allergens, but that also means they might clog more quickly or cause the HVAC unit to work harder. Some residential systems do not have the fan or motor capacity to run high efficiency filters. Check the US EPA guide to air cleaners for more information on filters.
Fesmire Heating and Air Conditioning recommends that you keep your filter size in your purse or wallet and clean or replace them monthly.