I know you can on the Bold (on AT&T at least) with the recent change to the Personal Email Setup interface (more like an on-device app vs. logging in through WAP). Not sure about the 8900 on T-Mobile. If clicking the Email Setup icon takes you directly to a screen asking for BIS login credentials without using the WAP browser to load the page first, you should be good to go.
If it does: Log in, scroll to the email address you want to add filters to, and either hit the menu key or click the trackball. Filters should be one of the options. It should be self explanatory from there.
If not: You're probably stuck with the on-PC method for now.