I actually prefer not to make use of split neutral density filters under most circumstances, simply because they rarely match the scene before you in terms of the transition of the exposure. If you have a level horizon a split neutral density filter can be a tremendous help in terms of getting the best exposure in-camera. However, in the real world the odds of having a perfectly level horizon without any significant objects rising above that horizon are relatively slim. To solve for this, my preference is to capture two images from a tripod, with one exposure optimized for the darker area (presumably the foreground) and one exposure optimized for the brighter area (presumably the sky). These two images can be blended together to form a single composite image that retains detail in both the highlight and shadow areas of the image, in effect compressing the dynamic range of the scene into the dynamic range of a single digital capture.
You can learn more about the process of blending two exposures using layer masking through the video tutorials on my DVD, "Photoshop Hands-On: Layer Masking", available through my online store here:
http://www.timgrey.com/store/index.php?app=ecom&ns=prodshow&ref=DVDLayerMasking