Why regrip? Because once a grip loses its traction you're likely to grip the club tighter -- a definite no-no.
So how often should you change out those worn grips? A good guide is at least once a year, or every 40 rounds. However, before doing so you might have your golf pro take a look to make sure you don't need an extra wrap or two of tape under them. After all, what's the point of having new grips if they're not the correct size?