I agree with the others - don't sweat on the filters too much. Most of the time you can get by without them.
As a rule of thumb, use a CP-L if the conditions are glary enough to require sunglasses, or if you want to see through a reflective surface like water. ND filters are more specialised - e.g. for waterfall shots. (You've already got good waterfall shots without one.) I've got CP-Ls in 3 sizes (49, 62 and 77mm) and that is more than enough. I have a 49mm ND but haven't used it yet. Kenko ones are rebadged Hoyas and good value.
Here's a list of filter sizes for Pentax lenses:
http://www.robertstech.com/filters.htm You will see that a lot of compact lenses (many of the primes) use 49mm filters.
If you go with the 18-135 and 55-300 combination (a good choice BTW) you could get a 62mm filter (for the 18-135) and just use an adapter if you want to put it on the 55-300 occasionally.
As for lenses, @Normhead, one of the silverbacks around here, argues that the 18-135 is prime quality at around 20-28mm. It's only f3.5 at the wide end, but so is the DA 21; much of the time you need greater DOF rather than speed at the wide end anyway. Not to say that the DA 21 Ltd wouldn't be better, just that you could save the $300 and spend it elsewhere. DA 35 f2.4 or one of the many nifty 50s are popular and very affordable as starter primes, but ask yourself first whether they would be your preferred focal lengths.
I know you said you shoot most in the 20-40mm range, but looking at your Flickr shots gives me the feeling that a prime in the 70 - 100mm region (plenty of choices here) might suit you better. It is a range that is not only good for portraits, but also close ups and any shot where you want to pick out a subject. Personally I just love my FA 77 because it can make any subject special. The 100 Macro is great for that too. I think you have a good eye for a shot and you could do a lot with a good prime in this area. The wide and tele ends would be well covered with your zooms (at least until you really get bitten by the lens buying bug).