If you have a paper filter like the oem, it's a good idea to replace it with a new one at every service.
Hmmmm . . . that is extreme overkill.
The standard VW paper air filter is good for 60k miles. My original paper element has done 30k miles, in quite a dusty environment, and is still fine, and would probably be fine until the 40k service. However, being as I can do it myself, I'll change it though.