how often to build a package ?

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When you modify or write new Python nodes you need not build your package every time, because Python is an interpreted language and it need not be compiled. So you need to build your package only when you define service/actions/messages definitions, modify C++ codes. Have a look at all the things mentioned in CMakeLists.txt of a package to get an idea how makefile is generated by cmake.

The short answer is NO.

you don't need to run catkin_make after every modification on your code