If you mean the hose that comes from the valve cover, use the small filter right on the nipple from the valve cover. Is yours an EXT? Then that one has a vacuum line that goes to the front of the intake manifold. It doesn't change.
Only other hose I can think of is for the SAIS (Secondary Air Injection System). If you're retaining that system, you'll have to either add a filter to that hose or just leave it open but protected from water. That hose feeds air to the pump that feeds air into the exhaust during warmup. Since it's going into the exhaust, dust is not as much of a concern but may damage the pump or valve.
BTW, those cheap units are usually referred to as a HAI (Hot Air Intake). It will just suck hot underhood air and that metal tube will also get hot without insulation.