I bought and installed a 500Hz filter on my TS940. It's the 8830Khz kind. It is working well.
Why not DSP? I will probably go to that route if the radio has it. TS940 does not, as it is at least 20 years old design. Doing it on AF stages won't do as a strong signal can overwhelm a weak signal way before that. This radio has a neat feature where I can shift 2 filters relative to each other and cut off high, low, or both. I tried it and it works, but there are some leakage and slope is shallow. I have a certain hearing issue, and it just didn't work for me. CW filter works. Wonderfully. Decision on which stage basically came down to price and availability.
By the way, I have been a ham for nearly 40 years and I started my hobby with TS520 series. I just can't get used to looking under menus under menus, just to change one parameter. I owned and disliked IC703Plus. Why menu, to change a speed of CW keyer? Plus, new radios are all surface mount. I can't fix that. So I'm staying with older rigs with conventional designs.
Anyway, thanks for everyone for your input!