Confession, also known as Reconciliation, maybe the most prominent and single most important sacrament after Baptism. Why do I say that?
Confession is a way of preparing for our reception of the Eucharist and allows us to draw closer to God as we cast away our attachment to sin.
As we go more and more to Confession we say yes to the specific image God has for every one of us of how we are to look as perfect repentant beings in heaven.

We allow Jesus to use His carpentry skills on our souls, sanding down the rough edges, and gently carving into us the image He has in mind. Confession is when we through His prompting ask Jesus to help us with a specific part of us that is out of order.
Sometimes we must take it multiple times to Confession for it to be properly addressed. For He will not work at a pace that we cannot keep up with less we should fall and He needs to start all over again.

The Lord is ever so patient, so He never works faster than we have the ability to handle.
I would recommend that you go to Confession as often as possible. The Church recommends that you go once a month, but the minimum amount of times to go to Confession is once a year. I like to think of it like dusting the house of your soul. If you go in regularly and dust as thoroughly as possible not much dust forms, but if you leave it for a time; dust covers everything so quickly until it is unmanageable.