If it's sufficiently filthy, stop at the nearest WalMart or auto parts store for a can of Brakleen, (the red can) and hose it off with that, then relube with White Lightning appropriate to the riding conditions.

That said, I do it mainly just to cut down on the hand cleaning after having to handle the chain. (Fixing a rear flat or whatever.) If it's not slinging grit and grease, it's just not worth it to try to extend the life of a $10-14 part by a few miles.