I use the screw-ons, and not many. Yellow, orange, red, and polarizer, though only the yellow lives in my pack. If you have more than one lens, get the biggest diameter filter you need and use step-up filter rings for the other lenses.

UV filters live on the lenses until I start composing -- or if there is rain, mist, etc, then the UV stays on until I am about to click the shutter.