You would want to have the red filter on before you white balance. What the filter is doing is basically narrowing the colour spectrum for you, its not adding red but rather subtracting the blues and greens. Have it on, manual white balance, take the shot.
However, filters are only good with strong natural light and a max depth of around 50 feet (15-16 metres) after that there is not enough natural light for them to work well, you will have problems trying to set the white balance. This is true for both photo and video. Also, its mostly just for wide and standard angle work, not for macro.
Although you can get similar results not using red filters and just using the white balance and raw conversion, you will find these images are more noisy due to a less compact colour spectrum.
At the end of the day, its best to have both strobes and filters for stills, strobe photos would still end up being the vast majority of your photos. For video work, filters are great for the WA end and some good strong video lights are best for macro