Not only should you change it, I carry a spare. So many engine problems come down to simply changing the fuel filter. They're so cheap and simple to replace, that it's pretty much the first thing I do if an engine starts misbehaving. Eliminates one major cause of problems right away and for only a few dollars and 60 seconds.
Last spring up here, I saw a guy's motor die in the locks and it wouldn't start. Another guy from 3-4 boats over passed him a fuel filter and the motor was running before the gates opened.