If you are a new rider, you are probably abusing the clutch. Not necessarily a bad thing but the grey is clutch material. For about $50 bucks you can replace the clutch plates.
You should get into the habit NOW. Change your oil after every ride (or about 100 miles). If you are trail riding, or just a few laps at a time on your local MX track, you can go longer...say once a month. I raced Hare Scrambles and Enduros and change oil after every event. Now I race Motocross and change the oil after every race weekend. I generally use Castrol GTX 20-50 but due to other sponsor commitments I use Amsoil. It is a better product but it doesn't really matter if you are changing it often. You might try different weights for your area/temprature and model. I have some bikes that prefer different oil or they become real notchy shifting.
Changing your oil often does several things. First it provides a clean and viscous lubricant. Oil breaks down with time and heat and loses it's "gooeyness". It also warns you of other problems that are occuring or about to occur. If your oil is milky white or you see excess metal for instance, you might have a problem.
The second habit to get into is change your Air Filter as often as you can and AT LEAST as often as you change your oil. On dusty tracks, I change filters between motos. I have several for each bike. I always clean them after a ride and I keep a couple oiled and ready in my tool box when I go to the races. NEVER store your spare air filters pre-oiled. The oil actually breaks down the foam over time. Clean them, hang them to dry and bag them to store. Then oil before an event or a ride.
Since you just got the bike, I'd suggest getting the top end done and the bottom end checked so your bike is fresh. Then you should be good (as a beginning rider) for about a year before you have to change the piston and/or ring again. A KX250 is a pretty powerful bike for a beginner but since you probably won't be ringing it's neck, it should last you quite a while between repairs.