When it breaks!
When the blade gets dull, it requires some pushing to saw, has a tendency to wonder, in some cases, depending on the wood, will start burning the wood. I think it is something that you get a feel for. I know of some scrollers that only change a blade when it breaks. I change my blades when they start to do the things I mentioned. I also do detailed fret work, and move from one hole to the next often. The blade gets bent, or starts to bend at the point where it is clamped in. I also use very small blades, so I have to change more often than some.
There are charts available that gives guidance on blade sizes and types. I know Olsen has one you can search for something like scroll saw blade chart and it will probably come up. Also some vendors sell variety packs that help. They contain different size blades to try. The main way to find the right blades for you is to buy a dozen or so of various sizes and types and try them. Do not just try one blade of a type of size, use it for a little while to get use to it's characteristics. A lot of it is personal preference.
Also, it is not a "daft" question, it is one every scroller, starting out, asks. There are a lot of different blades, used for different reasons. I takes some time of trial and error to figure out what works best for you. One more thing. Buy a good brand blades. The ones you buy at big box stores, Home Depot, Lowes, etc. are not real good blades. Try to ones like Olsen, Flying Dutchman, Pegas... much better blades. There is a difference.