Which dealer in Chicago?I did my first at 7500 miles, at the Mazda dealership. I paid for the 3 year service plan (was actually really impressed with their synthetic oil change prices (compared to Jiffy-Lube synthetic) and that was before I haggled them down). Plus, I can make an appointment and get a loaner if needed, but they changed my oil in about 45 minutes last time, so not too bad.
The rule it was with regular oil to change it every 3k miles. With synthetic you can double that mileage. These days, even with regular oil you can drive much longer then 3k miles.
My wife's CRV has a service minder system and will let you know about the oil's life. When it get's to 10%, it's time to change it. Between oil changes, she drives 6-7.5K miles on regular oil(!).