There are no fuel filters. They are generally not necessary if you use the small, disposable 1# tanks: since these are not refilled multiple times, they don't get the build-up of moisture and contaminants in the tank. Since 20# tanks are refilled frequently, the build up of moisture, rust, dirt and other contaminants in the tank can be significant.
My Big Buddy heater is used occasionally to heat a workshop and loaned out to friends as emergency heat during power outages (which are all too common in my rural community). I've had mine for 5 years or so, and not had to replace the filter yet. A lot will depend on how clean the propane is that you buy, and how much care you take to prevent crud from getting in the fuel hose and tank fittings when they are not in use.