If I break a new string within just a few days of installing a new set (or, worse, during the damn install) I'll replace just that one string. Much beyond that point, and I'll go ahead and just replace them all, otherwise intonation and whatnot can get a little whacky. If you're talking about changing strings in general... I take them all off at once (vs. changing them one at a time). It's a great opportunity to give the fretboard and frets a really good wiping/buffing.