I used to not do it, but I've recently made it part of my routine. The amount of detritus that builds up there is amazing. I try to vacuum in sections every other water change to minimize effect.
when you vacuum the sand you are also vacuuming up a variety of bacteria and small organisms like pods, snails, and micro stars (asterinia and micro brittlestars). i used to do it when i had larger grain sand when my tank was first setup and i was battling the algae that new tanks always get. but now my tank is full of tiny snails of a variety of types that i don't want to lose.
you can pull a lot of detritus out of the sand, but if you have sand sifting organisms like snails and cucumbers, then you should get that much of a build up. i don't recommend using sand sifting stars. they usually get pretty big and end up starving to death in our aquariums.
I agree with the last post. Get some sand cleaners to help stir it up. But it helps if if time you change gently stir the sand with your fingers and then vacuum up the debris that floats up.
I'm with Len. I used to do nothing, and that didn't work out so well. Now I siphon the sand bed. As Len said, I do part at a time, and it's amazing how much crud builds up in the course of a few weeks. As for the critters, I think they recolonize pretty quickly.
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I don't think it matters much if you vaccum the part you can get to since the part you can not get to is usually much larger and lower flow since it is under and behind the rocks.