I use a whole-house (spun string, looks like, about $2. 50 ea) filter, 5-microns, followed by a classic goldenrod diesel-fuel filter from the local 'farm store'.
I got impatient with the bag filters - wasn't really set up to use them and the oil takes quite a while to drain through unless you warm it up considerably.
cj may be using them - perhaps he has a laundry technique?!
Mark