Here is an interested article from Martha Stewart on when and how to wash your linen:
Regular care: How often you wash your sheets is a personal preference. In general, it's a good idea to launder them weekly to remove dirt and dust. Use warm water rather than hot, which can shrink fibers, and wash printed and colored pillowcases inside out to protect the color. If your sheets feature delicate trim, check the care label before washing.
Stains and spots: When dealing with tough stains, use oxygenated bleach on whites and light colors (chlorine bleach is too harsh for most linens). Cosmetics and face lotions are a common cause of discoloration. Many skin products contain oxidizing agents that actually can bleach sheets. If you are concerned about these spots, choose white linens or consider purchasing an extra set of pillowcases when you buy sheets.
Even with protectors, pillows should be washed at least twice a year; the covers, once a month (along with your mattress cover). Most down and synthetic pillows are machine washable (check the care label). Use mild liquid detergent rather than powder, which may leave a residue. Launder pillows in pairs to keep your machine balanced. Run them through the rinse cycle twice the second time without detergent, to ensure they're rinsed fully.
In the dryer: For down and feathers: Use the air cycle or low-heat setting, and make sure pillows are completely dry. There shouldn't be any bunches of feathers -- since dampness left in the pillow may cause mold. High heat can encourage clumping in polyester-filled pillows, so dry them on low heat. Your dryer will refluff pillows nicely, especially if you throw in a couple of unused tennis balls (wrapped in clean white socks, to prevent dyes from transferring).
I hope the above information is both helpful and inspiring...