@Melonlity -- I had a heating and air guy tell me the same thing last summer when he was fixing my central unit. Now, mine has two air filters. One is behind the return air grille and the other is on the other side of the unit. He told me that design means the unit pulls in a lot of air and, as such, I should replace the filters monthly.
What if the filters are rated for three months and cost a lot? He said that doesn't matter. Go for monthly. His advice was to get moderately priced filters, buy in bulk and make sure to swap in new ones at the first of every month (just because it is easier to keep up with that task if you do it at the first of every month).
That guy pointed out that simply keeping those filters changed will add years to the life of a central unit. Good advice. What is interesting is that he had nothing to say about that return air grille. In his mind, it appeared to be just the thing to hold the filter against the system.