I like to use set filter, only on a small record set. I once defined that as a few hundred record, but with memory and cpu speed much greater I now go up to a 1,000 records with set filter. Anything greater, in my opinion, is case by case.
In summary, set filter is powerful, but has performance limitations on large tables.
Regardless of whether you use a filter or a SELECT, the most important thing is to make sure there is an index on all fields on which the filtering is based. If you do, both techniques will give good performance; if there is no index and you have a large number of records, you will get poor performance with both methods.
There might be some additional performance gain for one method over the other, but it is likely to be insignficant compared to the gain you will get from indexing. I would say that you should go for whichever approach fits in most comfortably with your code.
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