Generally I surround the entire structure with an airbox that has at least a quarter wavelength from the edges. I generally use a third of a wavelength just to be safe. Then again, I am designing antennas.
For filters, you probably don't care too much about radiation. Nevertheless, it doesn't hurt to use a reasonable large airbox - say a quarter or third of a wavelength from the substrate. This will ensure that any spurious radiation is kept inside the box.
If you are using a waveport, make sure the port is assigned against the edge of the airbox. Otherwise, you will need a lumped port.
As for the radiation boundary, select the faces of the airbox and assign a radiation boundary that way. I would assign to each face.