Where to buy ND filters in Melbourne? What style?

[Jimbo]

Next question, slip-in style Cokin or screw on? I was leaning toward screw, but am open to suggestion.

Slip in, don't buy screw-ons. Screw ons mean that the filter always starts halfway up the frame, which makes composition hard if you're placing the horizon on the bottom/top third of the frame.

EDIT: this is assuming you're buying ND grads. If you're just buying straight NDs, then get either style.