Okay.
Say you make a basic fade filter, using Fade to 'white' and back over x seconds.
Now with your trigger selected, go to Edit, and click Convert to custom text. Now you can see the raw code.
In the line that does the fade filter, you'll see it now says "white.blp" or "white.tga" or something similar.
Change that line manually to use "yourfadefilter.blp".
Now, copy that line, and undo your convert if you want to keep it 'not-custom-text'.
Instead insert a new action, 'Custom script:' (your copied line here).
[edit]
....or you can just keep it custom text, like I usually do.