I take my keggles apart and scrub them immediately after using them for mashing. Unless you want to use tons of chemicals, stuff gets stuck in every little piece of your spigot, false bottom, etc. I used to only take them apart once in a while, but I saw more and more crud getting built up.
I left some grains in my cooler mash tun for a week. It took another two weeks of cleaning with chemicals to get that smell out.