Reddit mentions of Digital Signal Processing

I'll go with a1k0n here, IIRs are the way to go, unless you want to start implementing really long filters. A 3rd-order FIR has very poor attenuation in the stopband compared to a 3rd-order IIR. The only drawback of IIRs is that they have non-linear phase response, but I guess in audio work it's not that crucial.

For playing around with digital filter design I strongly recommend Matlab's signal processing toolbox. If you don't have access to that, Octave has an implementation of pretty much all the functions in SPT and is free. With it you can do the whole filter design in digital domain, which is a lot easier for experimentation.

And to accompany Matlab-DSP-coding I'd strongly recommend Digital Signal Processing by Mitra. It's got all the basic theory plus a lot of examples in Matlab (all of which should also work with Octave); it doesn't specifically address audio signal processing, but understanding the basics will get you a long way.