Side stories are stories which are not directly related to what is happening to the plot. It's usually something that complements your universe, a device through which you better depict your universe. Your main characters might be a part of the stories, and even might be the "main" character in them.
A side story might later evolve into the main plot. Its main idea is to introduce elements through which you add immersion to the universe world instead of the main plot. If your story does not have a "main plot", it might instead be told in "side stories", where each one adds to the universe, creating a vivid picture of the story universe as a whole (Stories without Main Characters; Stories that follow Concepts instead of Characters) until it finds a focus.
How often you want to add one to your book is up to you. Some people add one at the every arc (Epilogues are sort of Side stories, same goes for Prologues) whereas others add "omake", which are also side-stories (at the end of every chapter). Some people might add complete "side-story arcs" to further add depth to the universe as a whole (and therefore where side-character arcs come from.) In the end, it's up to the author to decide when, how and whether to make use of these.