Smoking a blunt is probably the coolest way to consume weed. There are different rolling techniques and practices and people in different countries and communities roll blunts in different ways. In the US it is more common for the blunts to be rolled tight, with a lot of weed an no filter. In Europe a filter is usually added. This adds some benefits to your blunt, but at the end of the day it all depends on you, here is our guide to blunt filters.
Rolling a filter for a blunt is pretty much the same as rolling a joint filter. You can find a guide of a few different ways to roll a filter here. The only difference between a joint filter and a blunt filter is that the blunt filter need to be wider. Besides that you do not need to do anything special. Just have in mind that the width of your filter is also going to be the width of the rest of your blunt.
One benefit of a blunt with a filter is the fact that you will not waste any weed. Usually when smoking a blunt without a tip, you will have to throw away or reuse the last part of the blunt, the part that you will be holding. The filter allows you to smoke all of your weed, as you will actually be holding the filter and not the weed part of the blunt.
End of the day, you can smoke a blunt with or without a roach, however if you happen to have one it is probably better to use it. Especially for more inexperienced smokers, the filter can add stability and structure to the blunt and make it easier to roll.