Between the friend who got me started, and the stuff I've done solo, I've got a couple dozen kit wines under my belt. So far, I haven't filtered any of my wines. Unless you're in a rush to free up the equipment(or drink the wine), I've found that letting everything sit in the carboy after adding the fining agents in the last step pretty much eliminates the stuff that might settle out in a bottle. Despite some of my better intentions, I've never followed the exact directions as far as the timeline in the instructions.
Also, if you're willing to lose a little yield, if you don't stick your racking cane deep into the lees at the bottom of the carboy, you'll have fewer problems with sucking stuff into your bottles. The most I've ever gotten out of a 6-gallon(US) kit is 27 bottles(instead of the "30" you're supposed to get).