I set my aperture in order to control DoF, and my shutter speed in order to avoid flicker from lights while being as close as possible to the 180º rule
then, I set my ISO somewhere between 100 and 800 (on a 5D2 I'd get to 1600), and, if needed, I use as many ND filters as it takes to make exposure right
I'm not aware of any situation where you wouldn't want to use ND filters if you have to reduce your exposure
It's all about the situation. I carry an ND.9 and a Polarizer with me at all times, although I wish I had more ND filters in other grades.
If the shot rests heavily on the look created by depth of field, then that should be your priority, and, like NormanBates said, you should use as many steps of ND as it takes to get your exposure.