There are a few things that will last you for a month or more and there are other things you should probably get once or twice a week.
For example, a big tub of coconut oil, organic ghee, several bars of Kerrygold butter, a big bottle of extra virgin olive oil will last me quite a while. What will also last for a while are herbs and spices and nuts.
I buy meat/fish/eggs that will last for the week, kept frozen in my freezer (except the eggs) and then thawed the day before I plan to eat it. But if you can or want to, you can buy a quarter, half, or heck a whole cow that will last you a long time and you save money.
I usually go to the grocery store twice a week for fresh vegetables. I have some frozen veggies (mainly broccoli and asparagus) but other than that, I like everything to be fresh (especially mushrooms and spinach).
There are other things I buy when I'm in the mood for it like dark chocolate or full-fat Greek yogurt.
All of the links that others have posted are great. But by no means do you have to get everything on the lists! Maybe plan out your meals for the week and see what you need. As I got into the groove of Paleo, grocery shopping came second nature to me.