All fuel pumps need some kind of pre-filter or screen to keep crud out of them. Even the factory mechanical pumps had a "sock" in the gas tank.
However, the filter on the suction side needs to be freer flowing than the one on the pressure side. This means making the filter either larger or with a higher micron rating or both.
Mallory pumps are gerotor style so require a 40 micron prefilter (rather than the typical 100 micron).
I would recommend PN 1029 shown here:
http://www.robbmcperformance.com/products/filters.htmlMade in the USA, affordable, cleanable, compact and a large enough filtering area to work with a 250 pump.
