If the sprockets have no observable wear on the pressure side of the teeth, there is nothing to gain from changing them.
Some folks will run the set until complete destruction, the chain stretched so far that the pitch is off and the sprockets are getting worn at an accelerated rate. If you monitor the system and note that the chain is needing more frequent adjustments, take the chain out of service and inspect clean the sprockets and determine if changing the cogs is required or not. If the sprocket shows no percieved wear, and the pitch from face to face is very close to as new, put on a new chain and maintain it as normal. You should get 2 chains with one set of cogs, sometimes the front cog (sprocket) will not make it though and you'll need to a change sometime down the line.
I'm doing a chain this weekend, not sprockets. The bike is out of service until the chain arrives. I'm KLR-ing it! I have 18,500 miles on that chain and it suddenly needed adjusted, and a week later it was back loose... so I stopped riding it. Throw it away and replace.
Larry