The most important place is on the input supply line of the plasma cutter, since that is the equipment generating the interference. You could add a separate filter on the input to the power supply powering the rest of the circuit too.xevilstar:
and that [filter] is something that goes between the power supply and the machine or between the microcontroller and the plasma module ?
You should also use good design practices for the rest of your circuitry to reduce susceptibility to interference. Things such as using metal enclosures, shielded cables and filters / protection on lines entering and leaving the metal box etc.