Well, I read few post that recomment to change it at 40,000. It would not hurt the box to do it and if you change the oil I'll go with the filter too. You need a new gasket as well, perhaps drain plugs and washer for the torque convertor if you want to do it all and a drain plug/ washer for the sump of the gearbox, they are cheap. Also a magnet maybe? I have none but I am now thinking of putting it out of the sump, just to be secure.
Olivier