I don't have a hard and fast rule about when, since it sometimes depends on traffic. Basically if I have a light wash day, it's a good day to do it. We wash shams much more often then comforters. And I keep a few duvet covers (which are more popular in Canada and the UK) just in case I need them.
As for dry clean only... I just don't care, I wash them. I have a few and I wash them anyway. If it really needs to be dry cleaned, then well, it ends up in shreds and is replaced. I like to keep one full unused set in the basement in case of emergency. Washed before use, of course, since many items now are coated with formaldehyde..