I don't see the need of a warm/cool filter when using a digital because the WB is adjustable. Such filters are only used when shooting slides and you know the colour of the ambieint lighting is not what you desire.
If you use auto WB, you effectively negate the effect of the filter. Use it only with a fixed WB or a custom WB as mentioned by others. Still, I think all you need to do is to set the WB to a higher colour temprature than that of the lighting to get warm effect and set it lower to get cool effect.
As for exposure setting, there is a filter factor engraved/printed on the filter or in the documentation. If you're metering with an external light meter, you will need to add in the filter factor to get your final exposure. If you're using TTL metering with your camera, then you don't have to do anything.