It just depends on how much oils they produce in their skin and what kind of living conditions they're in. If you're in a dusty area and she sweats a lot or produces a lot of oils on her skin, then she's going to get "gunky" more quickly.
I check my mare every time and groom her and clean as needed. I'll just pull/rub gunk off with my hands. When I give her a bath, I'll use soap. Using too much soap or sheath cleaner can actually make her skin produce more oils, so you might try just cleaning her with water for a while if you normally use soap.
I do it about once every 2 weeks. But I live in AZ where my girls are sweating a lot and are exposed to a lot of dust, therefore making them dirtier more often. All horses are different, sounds like your mare just likes to get herself dirty.
I'm with luvs2ride. I rub or pick the gunk out of my girls' udders every time I groom them. They both love it. My filly's udders get a lot grosser than my mare's does, but I'm sure that has a lot to do with the fact that Ricci has had two babies and her teats are pointed out, where as Gracie's are all close and snug in between her legs.