I would only put filters on the intake fans and not the exhaust fans. If you have filters on your intake fans you shouldnt have alot of dust inside your computer, but the little amount there is I would want it out of my pc and not trapped in the filter which will decrease your exhaust flow.
Whats the point of putting a filter on the exahust fan? Are you trying to keep the exahust air clean? If so, then it makes sense.
Filters on the intake fans are a good idea, if you can get a hold of some women stockings (don't look at me like that!) double layer them as they make home made filters.