I don't know whether this is the correct way or not, but I give mine the once over about every ten weeks.
I take out about eight litres of aquarium water into a bucket. Then I sqeeze out the sponges in the water. I also take the powerhed to pieces, so I can clean out the impeller and so on.
As far as I'm aware, Goose's suggestion of blasting the sponges in the shower is a ridiculous practice. The reason being is that your aquarium filter sponges have bacteria living in there which actually helps to clear the water into a habitable enviroment for your fish.