First things first: That lens has a b*stard filter thread. I don't remember exactly what it's called, but about every normal accessory out there will not fit it properly.
Second thing: (Maybe I'm stating the obvious, but for the benefit of those who've never handled this lens...) The lens was *designed* to work with Series 5.5 (also seen as Series 5-1/2) filters. These filters have plain edges with no threads. On the CL's proprietary 40mm Summicron, the lens hood ring is designed to hold them in place.
These is an option to using the hood and 5.5s, though; at least, so I've read. Either B&W or Leica, possibly both, have made screw-in filters for this lens in the exact thread required. They're not common, and I think I remember one member here had to special-order them through his camera shop. If you have a credit card and do mail-order, I bet those pirates at Tamarkin or B&H would be able to get them for you. But you'll pay stupid money for them.
You asked what we use. Well, I use the collapsing rubber hood, and 5.5s on the rare occasion when I do need a filter. Normally shoot without one.
The hood is ALWAYS on. I happen to adore the stupid rubber hood and its cap, because I do a lot of pocket carry. It's fragile, though.
Hope this helps. More questions, just ask.