On my TR4A, I added one in the soft line just before the carbs. I just picked one up at my FLAPS for a few bucks. I originally added it because I noticed a lot of sediment in the fuel pump sediment bowl, and I assumed the screen wasn't catching all the small particles. I refinished my gas tank shortly after adding the in line filter, and I have not seen any more junk in the sediment bowl since. This was about fifteen years ago.
I recently replaced this filter, not because it was dirty, but because it just looked cruddy. When I was doing this, I considered moving it to another location, as I think its current location just adds to the liklihood that I will have a fuel leak near the exhaust manifold.
I would recommend putting it just prior to the mechanical fuel pump. Not only is this location safely away from the exhaust manifold, it is mostly out of sight, as well.