Filters are essential to have in your gear bag, especially when it comes to correctly exposing your images. If you don't know much about filtration, Zeke Kamm of Aviator Camera Gear lays it all out for you in the video below, from what kind of ND filters to use to how to utilize a matte box.
Video is no longer available: www.youtube.com/watch?v=P6nmnz-Axgk
Zeke explains the nuts and bolts of filtration thoroughly, but one thing that should be addressed is the decision to add filters in post-production. You've probably heard this statement plenty of times from from new filmmakers, "I'll just fix it in post." Even though there's a lot you can do with your images during the editing phase, it's good practice to not gamble with the quality of your image by waiting until then to get the look you want. This is one of the reasons why filters are so helpful, because they show you what you're going to get before you get it -- not afterwards when it's already too late.
Furthermore, it seems obvious, but make sure to test out your filters before you hit record on a project. There are always subtle differences between them, as well as their effect on different cameras, so screw them on or slide them in to be sure they're giving you the images you're looking for.