Hi there, just spotted this thread so I'm a bit late to the party.
The main problem with goats and worms is, as Anke said, that adult goats do not develop immunity to worms while adult sheep do.
However, another problem is that you CANNOT use the same dose of wormer for goats as you do for sheep. This is not printed on the label because the wormers are licensed for sheep and not goats, so the manufacturers do not print "goat doses" on the label as they are not technically licensed for goats (although you can use them for goats, and indeed there is nothing else you can use, so you have to use them for goats!)
So it is not about how often you need to worm goats to keep them with sheep - it is about making sure that you are not underworming your goats when you do. Different types of wormer need different doses for goats, so I would really advise you to speak to your vet about the correct dose for a goat, or, if your vet is not aware of the differences needed, you can direct them to the Goat Veterinary Society, who will give your vet all the information they need.
So, in summary, don't use the same dose for goats as you do for sheep - this is proven not to work, and will help the worms on your farm to become resistant to the wormer medication in both goats and sheep, leaving you with no effective medication to use to help your lambs etc. Goats will need more wormer, but the amount needed varies with the type of wormer. And doing worm egg counts on poo, as suggested by another contributor above, is a very sensible idea and probably one of the healthiest ways to help control the situation as you will then know if you need to treat at all!
Hope this helps. We do free goat talks on worming etc if you are in Scotland (I'm a vet with the rural college).
Caroline