BEST option is to have a set of filters for each diameter but that's not going to be cheap! To keep costs down, get a set of filters for the largest diameter lens you have (or want to fit filters to) and use rings to fit them to smaller diameter lenses.
One downside to this is that bayonet fit lens hoods won't go over the larger filters so you may have to shoot without the hood. With a stack of filters, that can be asking for flare trouble.
Then there's the square filter system option. Can be cheap (Cokin) or expensive (Lee) and AFAIK, the systems are fairly interchangeable, so P size filters from Cokin will fit Lee holders and vice versa. These systems usually have their own hood system but stacking filters can still have a flarey effect unless you find some way to stop light getting between the filters and bouncing around.