You should run a credit report at least once per year, for yourself, and for any dependent children, since a favorite scheme of identity thieves is to steal the social security numbers of children and open credit cards in their names using a false address. If you run the credit reports on your social security number and those of your children, you will be able to spot any potential problems much sooner.
Another way that people fall victim to identity theft is when their mail is stolen, usually straight out of their mailbox. Paying bills online is one of a number of ways you can reduce this risk.