For monochrome, a colour filter works to lighten matching parts of the subject and darkens other colours. You can preview the effect by flipping the filter in front of your eye and away. You should not need a filter to get a grey tone from blue sky unless you are underexposing or possibly over developing, or using Ortho film, for example.
With the exception of UV or Skylight 'clear lens caps', I put on a filter because I need the effect. Which means I have to change the way the film will render the scene to get the effect I want. i do a lot of landscape work, so I probably use yellow-green or green more than anything else to adjust the separation of foliage.