I agree with dcclark...don't know what you are worried about with DX versus FX.
I use a Cokin "P" style filter adapter and filters that fit. I've never had a vignetting problem with any of my lenses. I use Pentax lenses which have some of the larger diameters out there (64 to 77mm filter threads on standard lenses). I don't use Lee filters so I can't comment there. I use Singh Ray exclusively these days.
As for Cokin-brand grad filters, my personal opinion is to avoid them altogether except as practice filters. They will work but their quality is somewhat inferior. This is from experience.
On the HDR versus filter quality...it really depends on your use of HDR. My personal opinion is that most photographers use HDR way too much to the point where it's become another form of art versus an enhancement to traditional photography the way a ND grad filter is.
The best quality images you can get are what you get straight from your camera. The more post-processing you introduce, the more degredation can become an issue. While it is true that modern post-processing software such as Photoshop and Lightroom do incredible things (and I wouldn't be caught without them!), there is just something more natural from a filter image versus a software-enhanced image.
If you are trying to achieve a more natural appearance to your image, it's best to stay as close to the original light as possible. You only get this "on scene", not in the computer lab. A filter works by enhancing existing light while the picture is being exposed. An HDR program works by modifying pixels after the fact. By design, it can't change existing light, only modify what it has been given.
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Cameras: Pentax K5, K20D, K10D, *istDL, ZX-7, ZX-L
Eagle Vista Photography - Flickr - Pentax Gallery
"Anybody can make the simple complicated. Creativity is making the complicated simple." Charlie Mingus
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