I usually prefer to go with two filter sizes: the biggest of my smaller-threaded lenses and the biggest of the bigger ones. (I used to go with 55 and 72mm, though now I've got a 77mm threaded lens, so I'll have to work something out.
)
One thing you could do, though, is get hold of that step-up ring set, but buy one step-up ring to bridge the most of the distance, (Say, a 52-72mm or somewhere in that neighborhood, then you won't have to use the whole stack, but you can be very adaptable if that's what you want.
) I generally don't consider it a hideous expense to have a smaller size of filters, partly cause I have few big-thread lenses, and also cause smaller filter sizes just aren't that expensive.
Square filters are very nice if you use a lot of them: I've been in a rather non-filterey mood in recent years, though, so I haven't pursued it.