Frequently Querying the DMV - sys.dm_exec_sessions, sys.dm_exec_connections and sys.dm_exec_requests
It depends on the amount of connections and your hardware + your ability to change the query.

The first thing you should do is look at the query and decide which columns you need and which columns you don't need.

If we run the query with 

set statistics io, time on;


On an idle server with &lt; 100 connections

select count(*) from sys.dm_exec_connections


Result

20


The result is clear:

 SQL Server Execution Times:
   CPU time = 16 ms,  elapsed time = 18 ms.


The logicalreads are also very small (thanks statisticsparser):


This should mean that the query is harmless on this server,even if we run it every 5 seconds.



On a prod server with over 10k connections

select count(*) from sys.dm_exec_connections


Result

13713




Which means that every 5 seconds, around 300 - 400 ms cpu time will be used:

 SQL Server Execution Times:
   CPU time = 422 ms,  elapsed time = 485 ms.


And that amounts to the query running 1/10th of every 5 seconds.

However, if you can change the query, either by omitting some columns, or using a temp table, the overhead could be lowered by a lot.

E.G. Splitting up the query in two parts and removing some columns.

set statistics io, time on;
select sys.dm_exec_sessions.session_id, host_name as [Connecting machine name], client_net_address AS [Connecting machine IP],
program_name,client_interface_name,login_name,nt_domain,nt_user_name, 
sys.dm_exec_sessions.status AS [Session status],command,r.Status AS [Request Status],
last_request_start_time,last_request_end_time,r.connection_id 
INTO #temp
from sys.dm_exec_sessions 
inner join sys.dm_exec_connections on sys.dm_exec_sessions.session_id = sys.dm_exec_connections.session_id
inner join sys.dm_exec_requests r on sys.dm_exec_connections.connection_id = r.connection_id


select #temp.session_id, #temp.[Connecting machine name], #temp.[Connecting machine IP],
program_name,client_interface_name,login_name,nt_domain,nt_user_name, name as DatabaseName, 
#temp.[Session status],#temp.command,r.Status AS [Request Status],
last_request_start_time,last_request_end_time,r.status, text,  *
FROM #temp 
inner join sys.dm_exec_requests r on #temp.connection_id = r.connection_id
inner join sys.databases on r.database_id = sys.databases.database_id
cross apply sys.dm_exec_sql_text(r.sql_handle)

DROP TABLE #temp




Resulting in 10X lower amount of CPU usage.



Extra testing

On a server with 600 connections

select count(*) from sys.dm_exec_connections

600

 SQL Server Execution Times:
   CPU time = 31 ms,  elapsed time = 40 ms.


About twice as much cpu time as with 20 connections.

Testing every 5 seconds on the idle server

If we add two jobs that run every 10 seconds.

(with 5 seconds between them because we cannot go lower than each 10 seconds scheduling.)



And watch the result, The jobs started executing at ~9 AM on a server with 2 cores @3,5GHZ:



The cpu usage difference is not visible, before and after the 9AM mark.



Server activity remains closely the same



DB IO.



Wait stats went up with a negligible 20ms on ASYNC_NETWORK_IO.