Steve,
What Tracy posted trumps anything I say, as he has the vastly overwhelming experience here. But thought I would weigh in on the subject anyway, just for some variety.
I have tried running with and without air filters and didn't see any noticeable difference in performance. So, I left the filter in place as any small FOD could be very costly. I'm running a K&N conical filter, fed by the left air inlet (approx. 5.5" dia.). The rubber end that has the K&N logo on it faces into the wind. There is a cone-shaped housing with a small hole in the bottom to let any trapped water escape although I try to never fly in the rain. I don't have an alternate air source. This setup has served me well for 100+ hours.
Mark