I don't know how often i do my boy's but it's not very often probably 3-4 times a year. I do it when it looks mucky. Charlie is really good and just moves his leg out of the way so i can do it and Wish i haven't needed to do yet as it still looks clean, i bought him in October.
I have always cleaned my mares bits aswell as they get quite crudy between their udders, Bramble was always really good and Danser you have to keep at her and she will eventually stand still and let me do it.

Now i read this and i wasnt exactly sure what a sheath was but by the way it sounds its there manly hood so i googled it as one does and this video comes up and he says annually Ill give you the link anyway . .. .

YouTube - ‪How to Wash a Male horse's Sheath; Rick Gore Horsemanship; www.thinklikeahorse.org‬‏