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I hone 'em several times a week on this ceramic sharpening tool that came with the knives (http://www.amazon.com/Wusthof-2900-W%C3%BCsthof-Ceramic-Sharpener/dp/B000066SYP) and bring them to the hardware store here in town to be sharpened once a year -- sometimes I've brought the more-used ones in at the six months. [Having sharp knives is rad.]

First of all, there is a difference between sharpening and honing; second, you do them at different intervals. :)

1. Sharpening = grinding a sharp "v" where the two sides of the blade meet. Over the time, this point gets worn down to a nub. Sharpening makes the knife thinner and should only be done 1x/year or so, assuming you use the knives regularly. Go to a professional for this.
2. Honing = creating micro-serrations along the blade of your knife. This makes the blade "feel sharp" and you should do this every time you use the knife. If you are cooking a huge meal, you may even want to hone multiple times during prep. You can hone yourself at home, using the steel that came with the knife set. Just make sure to hold the knife at a 20 degree angle away from the steel, and pull it towards you in a smooth sweeping motion. It's easy to tell you are at a 20 degree angle with the knife by holding the steel so it stabs straight down into your cutting board - hard to screw up this way. :)