Where to locate the filters

Somewhere in the area of the return duct system, some are inside the furnace close to where the blower motor is located,some are in a special slot again close to where the return duct is connected to the furnace,and some are located behind the return air grill in the living area.

Putting them at the return air grill(s) will keep the ducts the cleanest... also probably the easiest to maintain.