Lubing the spindle as John described above is the most routine maintenance for the advance mechanism. Oil applied to/around the center screw wicks down and allows the top half of the spindle to move relative to the bottom half (allowing the centrifugal advance to take place). To lube the bob weights and springs is a bit more involved.
Remove the distributor cap and rotor,
Disconnect the breaker plate to distributor housing ground wire if fitted,
Remove the screws securing the breaker plate to the distributor housing,
Remove the breaker plate.
With the breaker plate out of the way you will be able to see and lubricate the bob weights and springs.
Apply a few drops of engine oil at the pivot and contact locations.
As Haynes says, reverse the steps above to reassemble. However, when done, check your points gap and timing. Also apply a thin film of light grease to the distributor points opening cam (or if your points have a felt wick, make sure it is completely wet with engine oil before you fit the cap and rotor). Failure to lube the points cam can lead to very rapid wear of the heel block on the moving arm of the points.
You asked how often to lube the bob weights and springs. I don't remember seeing a time specified but it wouldn't hurt to do it every few years or so. Just be careful not to lose the distributor's screws.