Recently bought a pump

I recently bought myself a pump to use for my winemaking and brewing. It's mainly because I'm lazy and I'm sick of doing the siphoning thing. ;-) You can also use filters in it, and while I don't know if I'll use that option, I'm curious about when you should do it. Is it a safe bet to think that I probably wouldn't want to use any filters when moving from primary to secondary? I know that there's some necessary fermentation that still takes place in the secondary, and I was worried that I might filter out some of the yeast if I use one this early in the process.