No one is claiming that they filter out everything, but the efficiently of filters has come on leaps and bounds in the last decade. There are similarly plenty of studies demonstrating the benefits.
Having worn one for several years around London, there is absolutely no doubt whatsoever that they make a difference to the amount of shite you take in, and to the level of irritation of nose, throat and chest one experiences.
The costs of the filters is not great. I would just buy then as and when I found them on sale/reduced. Compared to the general costs of cycling and the savings over using public transport, it was a trifle.
If you do get one, make sure you get the right size for your face to ensure a good fit.