I did my first change at 500 miles. I know that's really early and probably overkill and the filter is supposed to catch those small particles from break-in. I always just play it safe with a new engine. After that, I do service at the owners manual recommended intervals.
With this car, I settled on every 5k miles. Longer than the severe interval but a little early to compensate for some more spirited driving and the stop-and-go city traffic. I buy my own oil, Pennzoil Ultra Platinum, and supply it for a change at the dealership so there's a record of service in case there are any warranty issues down the road.
For direct injection engines, there's some evidence that low noack oil can help reduce carbon build up. I also ordered some catch cans that I'm waiting for to install for this issue as well. YMMV with this but given that this is the last car I plan to buy for a long while I once again am trying to play it safe.