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Here's something you can file in the "Tell me something I don't already know" drawer: if you're driving a diesel, you have to ensure that you take great care of it or else you'll be spending more time in the shop than on the road.  Much of the attention on taking care of your engine (and the rest of your truck, for that matter) is centered on keeping your fluids clean and on a very regular changing schedule.  Another thing you likely already know: it's at least close to equally as important to regularly maintain or change the various filters in your diesel. 

Having filters that aren't clean, no matter what filters they might be, can cause your engine to do all manner of weird things that might otherwise be difficult to diagnose.  If you aren't already keeping your truck on a regular maintenance schedule (tsk tsk), it's definitely time to start thinking about it. 

In an effort to create a sort of easy reference, here's a brief schedule of when you should be changing the various filters in your truck.  Know that engines are different, of course, so I might be hitting on some filters that some don't have, and it's also likely that I've missed some.  But all the "Greatest hits," however, should be here.

• Fuel filter: In general, your fuel filter should be changed at each oil change interval.  This, however can change a bit, depending upon the brand, type, or quality of fuel filter you use.  When in doubt, refer to the particular manufacturer's instructions.
  
• Air filter: As far as I know, there really isn't a specified figure as to how often an air filter should be changed--it all depends upon how much dirt you're asking it to filter.  This would depend quite a bit upon where and how you're driving.  As an expediter, it's still a toss-up in a lot of cases and depends upon the type of expediting you're doing.  If you're on highways a lot, you can expect to have to change it more often.  A visual inspection should do the trick in most cases and, as you might guess, refer to the manufacturer's instructions for more details about the particular filter you prefer to use.
  
• Oil filter (full flow and bypass, if you've got one): Simply put, oil filters vary pretty widely, and you'd do best to refer to the manufacturer's catalog and/or instructions as to when to change.  Sometimes, it's every other oil change.  Could be every oil change.  It just depends, it would appear.
  
• Transmission & hydraulic filter: Everything I've found on these filters varies as well, from 10,000 miles to every 25,000 or 18 months. 
  
• Water separator: If your diesel has one of these, it should be emptied once a month or so.  If there happens to be water present, you might consider emptying it more often until it comes up dry.  Other sources also say that the separator should be changed every 25,000 miles or once a year, give or take. 
  
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• Diesel particulate filter: Not every diesel has one of these--it's mainly big rigs at this point, I gather, and depending upon the device that's attached to your truck, the type of filter you use depends upon what kind of maintenance you're going to have to do on it.  Some filters are single use, and some require a catalyst to help burn off accumulated particulates on the filter itself.  The advice here: refer to the manufacturer's instructions, or to a trusted mechanic.  

Speaking of trusted mechanics, I think that it's clear here that I'm not one--and that's ultimately what I'd suggest you do if you're not comfortable with keeping a repair and maintenance schedule on your own.  A good mechanic will keep your truck running well; a great mechanic will do that and develop a close relationship with you.  Along that line, if you are doing your own maintenance work on your truck and find yourself stuck at any point, or need advice on when or how to swap out or clean a filter, a great place to start would be the Expediters Online forums, where the expertise is much deeper than I could hope to provide.