Dump it all in. There's a thread around here someplace where a brewer split a batch putting the trub (hot/cold break and such) into one fermenter and not into another. The one that had all the trub/break/etc. in it came out clearer and tasted better when it went to the glass.
Personally, the only 'filtering' I do is via a hop spider so that I don't plug up my plate chiller. The break material, and everything else (that can go into the fermenter) goes into the fermenter.