It is the users preference, they all have they're negs and cons:
Filter/Roach: Picks up the airflow and allows for larger hits but, it is a strugle to keep it in there and doesn't give the blunt it's classic playa look.
W/o: Easily burns out due to too much resin and clogs the airflow but, you get that smoke destined for rings and it looks hell of cool.
-JH