If your digicam has a filter thread (not many do!) then attach one by all means (just to protect the front element) Beware, some have filter threads but the lens moves beyond the filter (zooming in and out) and will foul on any attachment!
If you want a good website then try
www.robgalbraith.com It is aimed at the pro end, but contains a lot of info on CF memory cards, and the forum has hints and tips on processing in photoshop and printing. It is worth a look!
Q. What camera do you have?