Filtering has more to do with component tuning than anything else. The real question should have been, what type of sound are you trying to achieve? There are many different ways to influence a component and achieve the same thing. If you need extra warmth you could look at a Hammond choke, extra copper braid shielding for the power cords, magnetic coils, copper outlets, Bybee's, exotic woods, and soft feet like Vibrapods. Each adds a different degree of warmth, some are better than others, but each one offers a similar change in audio and video.
Alan builds a simple stand that does wonders to help develop midrange frequencies. The stand is made with 4 Soundcare adhesive spikes, 2 sheets of 1" cast acrylic, and 4 large Cardas blocks. In a/c applications the stand overall effect has been compared to additional filter stages. He uses the stand for the balance power conditioner, HTPC, and external hard drive cases.
Another excellent tool for dialing in cable harmonics, and dirt cheap for what it can achieve, is the High Wire power wrap. If the coil is dialed in using mid to lower mid frequencies it does wonders for cleaning up or filtering the incoming a/c for the component. Alan has one on every power cord in his system. Granted it requires a lot a time to fine tune the cable, I think it takes Alan 3 or 4 days to fine each cable, now this is a guy who is professionally trained, but the end result is out of this world and comparable to mega-buck power conditioner designs that we have tested over the years.
So the question should not be how to, but rather one should ask why, what are you trying to achieve by adding a product or material to the component? Understanding what you feel is missing helps me relate the info to Alan for an answer

One item I can recommend is Ti-Shield. The shielding is a copper clad design, Alan uses it for a lot of projects, properly grounded the shielding can provide filtering down to dc. Alan has played with various ground sizes and prefers 12AWG. I don't think 12AWG provides filtering down to dc, but larger ground wires start to close the sound quality down and roll off the top end too much. A cheap and effective idea is to add a grounded square behind the wall outlet, this tweak best many add-on filters for almost nothing, and offers superior magnetic filtering on the cheap. If you are using one of the PE models this tweak offers great enhancement in a bright system.
I hope this helps.