Are you talking about the paper dust filter, or the foam "wet" filter? The foam filter can be washed, but it's not meant for use with dirt. It's there to keep water from spraying out the exhaust when in wet vac mode.
I double up on my shop vac... filter bag plus paper cone filter. Bags have a ton of capacity and are relatively inexpensive (3 for $12 on Amazon). The cone filter rarely, if ever, needs changing. It's mostly there as secondary filtration should the bag tear for some reason.
Brad