Did my first change at around 1700, second at around 7500. I'm at about 11k now and the car is telling the dealer it needs service soon. I will probably change the oil every 7500 miles or so - it is easy except for the mass quantities of oil that these things hold.
Definitely change the filter if you're changing the oil.
My car is not burning any oil, so I'm not sure what you meant by that (burning oil) being normal for a diesel.