It can be a handy time and money saver to do certain effects "in camera", at the time you shoot, but that locks you into whatever you did in ways that are not always easily undone. Be really sure of what you want and what you are doing, before you make this choice. That said, if you are shooting day for night and you want to skew the white balance to make shots blue right off the bat, that makes a lot of sense. The question becomes more open-ended, the more post production firepower you have at your command. Your choices open up more. Magic Bullet looks for example, is what I'd use over playing with grad filters on the set. This is my personal opinion only.