I've made a few of these myself, pretty much as Klaus describes.
I found that tilting the filter off of perpendicular with respect to the vocalist/capsule axis, to deflect some of the air, does seem to help.
Fletcher's idea of a thinner ring material and somewhat random shape makes sense, as any depth to the circular ring will theoretically create some wee bit of reflection and also a bit of cavity resonance. Also the ring causes some wee bit of diffraction (good reason to make the filter a large diameter relative to the vocalist/capsule distance).
My attempted solution to these issues was to cut a strip of wool felt about 1/2" thick and the same width as the depth of the ring, and glue this around the inside of the ring to soften the hard edge before stretching the stocking over it. Unfortunately the only pic I have is at the wrong angle to show the felt (it's also smaller than Klaus recommends, and yeah, it's not tilted like I said I do). But you can see some ripple to the stocking around the edge where it touches the felt inside.
I found the result pretty subtle, but it's certainly easy to do and I'd be interested to hear if anyone else tried it and hears a difference.