I changed my oil at around 2500 miles and didn't notice any type of sludge like you would when changing oil at 15k+ miles. I just had the usual small deposits of metal shavings and now I had my annual oil service done just a few hundred miles before 5k so I don't know what it looked it but I'll find out once the car hits 10k. I always change my oil at between 1500-2000 miles then every 5k miles after that. You can wait for that specified 15k miles if you want but that's going to be a lot of crap in there and once you get out of warranty......changing the oil is quick and easy, it's always the little things that will make your car leave you waiting on the side of the road for a tow truck.
If you're seeing sludge then either you car was sitting a long time before you purchased it (which it shouldn't because of the stuff they put in the oil), you've been driving the hell out of the car or something is getting into your oil.