"What's the appropriate number of times to do direct mail for an event?"
Allow me to be blunt: if you're only going to mail once, don't bother mailing at all. It takes more than one mailing for people to notice you. I would suggest narrowing your list and increase the number of mailings.
At Calvary Fellowship, we always mail at least twice for an event or big Sunday. For Easter, we'll usually do 3 mailings to make sure we saturate our lists. For other events, we'll send a mailer 10 days before the event and then the week of the event.
The moral of the story is to give people more than one chance to notice you. If you do, you'll dramatically increased results.