Lights add light. At all visible wavelengths. Generally, filters are superfluous if you have lights - or at least if your lights are able to light your subject, i.e. if you're close enough. If your lights can't light your subject (i.e. shooting a big wreck), don't bother bringing them.
Inverse-square law - Wikipedia, the free encyclopedia
Filters subtract certain wavelengths. If you have enough light, they can improve the color balance by filtering out some of the blues and greens to give a more natural-looking color balance. However, at depth, where you simply don't have any red left, they won't help. There's no way a filter can make the reds, oranges and yellows "pop" like a light does, particularly at depth.
If you combine lights and a filter, IMO there's more than an even chance you'll get some weird colors.