I have a Lennox G40UH(X) series furnace, which is installed in our attic (We have a single-story house on a slab). Because the furnace is installed in the attic, it is "laying down" on its side, and the incoming air is piped into what would be the bottom of the unit if it was standing up. We have intake vents in almost every room of the house (small vents, about 12" long by 8" tall). These vents go up to the attic, and they're all routed into a big metal box which is appears to be welded to the bottom of the furnace.

Because this is kind of hard to imagine, I mocked up a little image of my setup (this isn't my actual furnace, just a similar picture I found on Google):

I have flexible ducts leading to the cold air intake "box" that is welded to the bottom of the furnace, and round flexible ducts leading from the hot air "box" to all of our vents (which are in the ceiling).

The problem I am having is that I can't see where to install a filter! I can remove the front panel and see the bottom motor, but there's no where to actually put a filter.

According to the User's Information Manual:

This unit is not equipped with a filter or rack. A field-provided high-velocity filter is required for the unit to operate properly. A filter must be in place whenever the unit is operating

I don't have any idea what a "field-provided filter" is. When we bought the house, there were a few destroyed filters in the attic next to the furnace (all of different sizes, a few cut to different sizes, but no filter in the furnace. It looks like the previous owners had no idea either. So, for now, we've just been running the furnace without any filter.

Is there something I can do to put a filter in? Is it really harmful to run the furnace without one? Should I look into putting filters in all of my little air intakes around the house?

Update: As is usually the case with me, I put off worrying about the furnace until it started getting too cold here at night. I finally climbed up to the attic and took a good look at the furnace. There isn't any indication of where a filter should go, and no slot to slide it in or bar to hold it in place.

This is the air intake area – you can see the circulating fan on the right, behind the control board:

I put the filter along the bottom – a 14x25x1 fit snug across the whole side (bottom if it was standing up). I had to fold and bend the filter some to get it inside the furnace. The only thing that seems to hold it in place is the body of the circulating fan: