There are two main tools for treating RFI, and each fits a different path. A filter sits in the signal path and passes some frequencies while blocking others. A ferrite choke sits on a cable and blocks the unwanted common-mode current while leaving the wanted signal alone. Choose by asking where the interference travels: on the wanted signal needs a filter, on the outside of a cable needs a choke.
Three filters, three jobs
Idealised shapes. The filter has to pass what you want and block what you do not, and its cutoff sits between the two.
Low-pass passes everything below a cutoff. At your transmitter's output it passes your HF band and attenuates harmonics above it.
High-pass passes everything above a cutoff. At a TV's antenna input it passes the TV channels and blocks HF signals below them.
Band-reject (notch) blocks one narrow band and passes the rest, for example a 2 m signal getting into an FM radio. A length of coax cut as a stub can serve as a cheap one: see Stubs, quarter-wave sections and the gamma match.
Filters sit in the signal path. Ferrite chokes sit on the cables that carry unwanted common-mode current.
Harmonics are the transmitter's fault, so the low-pass filter goes at the transmitter. Overload is the receiver's weakness, so the filter goes at the receiver's antenna input, because filtering your own coax does nothing once your signal is already inside their set. A filter helps most when it is placed ahead of the first active stage, where overload begins. See Harmonics and spurious emissions and Receiver overload and intermodulation.
Ferrite chokes and bypass capacitors
Block RF on the cable with a ferrite choke, or shunt it to ground with a bypass capacitor.
A ferrite core on a cable raises the impedance of any current that flows the same way on all conductors, which is the common-mode current that makes cables act as antennas. Wanted signal currents are equal and opposite, cancel inside the core, and pass untouched. For the full mechanism see Common-mode chokes.
Pass every conductor together through the core: both wires of a speaker pair, or the whole power cord, not one wire alone.
Mix matters. A ferrite works over a certain frequency range. Mix 31 is popular for HF and mix 43 for upper HF and VHF, typically. A core that suits your band does the most.
More turns through the core generally means more impedance, though stray capacitance limits it at high frequency, so fewer turns can win on VHF.
Clamp-on cores are convenient for fixed cables. Toroids can take more turns.
A bypass capacitor of small value, typically in the nanofarad range, across an audio input shorts the RF to ground while the audio passes. A ferrite and a capacitor are often used together.
Pitfalls
A low-pass filter at the transmitter must be rated for the power and the frequency, and matched to the line, or it overheats and disturbs the SWR.
Ham filters are generally 50 Ω with PL-259 or similar connectors, and TV and cable filters are 75 Ω with F connectors. Do not mix them up.
A ferrite does nothing against interference that is on the wanted signal itself. That needs a filter.
A choke on the wrong cable, or in the wrong place, does nothing. Treat the cable the interference actually uses.