The internal filters are OK, and you can get further protection from the big signals on MW and FM and DAB with the rejectors. The only parts of the spectrum which may need external filters are the NDB and VLF bands (generally 20kHz to 500 kHz) where you may find some spurious responses and a raised noise level even with the rejectors switched in.
If you are handy with a soldering iron, designs for a suitable lowpass filter are to be found online. Otherwise I believe they can be bought from Ebay sellers.
I have a number of SDR’s here (a perk of my old job as one of the magazine reviewers) including a very posh and expensive Winradio Excelsior and a fairly expensive Colibri DDC (a direct down-conversion receiver), and although both the expensive ones are far less prone to spurious responses than the RSP without additional filters, the RSP is just as good once you add a simple LPF.
I’m sure you’ll love it.
BTW – if you upgrade the SDRUno software online, don’t forget to ‘reset to factory defaults’ before you start searching the bands or you might find the performance is poor.