If you're using O2, a filter is not necessary, as pure oxygen has its own disinfecting properties.
MaxStout, Since recently moving to all grain, I also changed my method for oxygenation. It's one of the processes that I fear is a high risk for infecting the beer. I was under the impression that it would be a good idea to use an in-line filter with O2 if it were the industrial type. In fact, I have been pricing medical grade cylinders and supply, because I can't imagine the filters stay sterile forever. It would be great to hear that I don't need to do that and can just use the "Home Depot" O2.
The other reason the oxygenation process makes me so nervous stems from my first time trying with a stone and air pump. I had sanitized the stone and it was wet, in and out. They don't work too well with any moisture inside them. I have a different process for sanitizing now. I use a toaster oven (15 mins at 350) for the stone and star san for the tubing.
The first time using the stone, I finished and soaked for a short few minutes in PBW, then star san. I stored it in a plastic sandwich bag. In a few weeks, I noticed something growing in the pores of the stone. I can't imagine that could be good.
My process now looks like this - From storage to toaster oven, cool down, touch with clean sanitized tin foil, attach airline and filter, oxygenate wort for 25 seconds with tank on but low, create a few inches of foam, remove to PBW in HOT water for a few hours, star san, dry and store.
I do not have a wand, only the SS stone.