Hi again,
I'm back to weigh in favoring air horns on ZS, SU or Webers... IMHO, they can help even a street engine breathe better. However, besides the "wow" factor, the greatest benefit would come in conjunction with other modifications such as porting, increased compression, a hotter cam, headers and anything else that helps the motor inhale and exhale well.
I agree that some sort of air filtration is essential. Running a motor without it is just asking for trouble. Race motors striving for every last little bit of power may be run with horns only, but are typically rebuilt every few hundred hours of use, or less, anyway.
There are filter options besides socks. I've got two 3-1/2" deep oval K&Ns covering the four 40mm air horns fitted to the DCOE 40s on my TR4. These give ample depth to allow the air horns to do their job. The only caveat is that some modification of the inner wheel well is usually needed to fit this deep a filter.
I'm fairly certain K&N makes air filters to fit SU/ZS carbs, too. Just get a deeper version that allows 1-1/2 inch or more of air space, between the very tip of the air horn and the inside of the filter end plate. Probably ITG and some of the other performance filter makers offer something that will work, too.
Other filtration options can be elaborate or simple. At the elaborate end of the spectrum, fabricate a sheet metal airbox serving all the carbs and fit a single, ample filter to the front of it, which would also serve to gather cooler air from the front of the engine compartment.
A simple solution might be a separate, clamp-on filter at each carb. These are made by various filter manufacturers. Some are even customizable, with a metal framework you can bend and shape to fit your particular needs.
So long as filters are used, I don't see much harm in experimenting with air horns on any passive induction fuel/air system (i.e., not turbo or supercharged). It's possible the carbs might need to be re-jetted or otherwise adjusted after air horns are installed. However, both ZS and SUs are pretty good at self-adjusting for changes in air flow, up to a point (Webers are not, would probably require re-jetting).
Cheers!
Alan