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.