Andy,
Two of my brood of three are active shedders; one, an elderly Sheltie leaves a trail of fluff behind him where ever he parks his butt...which is everywhere. I'd say I change bags monthly. I do have to admit I'm a compulsive vacuumer. The little "bag change" indicator never moves from the empty position, but when I can stick my index finger in the bag opening and feel dog hair, it's time to change the bag! I do use the active (charcoal) filter, and it REALLY reduces the "vacuum full of dog hair" smell. I got the first one free as an incentive to buy the thing, and I need to replace it...another $30.