I shoot a lot of images on a crop sensor Nikon D300 and have the same problem, so I actually stack filters to get the end result I require. As I shoot mainly landscapes and nature I often have problems with the sky and ground or sea being to far apart in exposure. Also I do not use Photoshop for post-processing, preferring to do as much work as possible on location when my creative thoughts work best.
A good example of filter stacking is the image linked at the bottom which was of a very boring sunset, but by stacking a whopping 7 filters something more interesting was created and the contrast of light from shooting in to the setting sun was also controlled ...
2 x ND8 screw-on filters to cut the amount of light down to enable a
longer shutter speed to smooth the sea
1 x circular polarizer screw-on filter to cut reflection off of the sea leaving it a
more matt surface
1 x ND4 graduated to clear slide-in filter to cut the excessive light
in the sky
1 x ND8 graduated to clear slide-in filter to cut the excessive light
in the sky (stacked with the ND4 graduated filter above to bring the sky in to the
same exposure settings as the sea on the cropped sensor)
1 x graduated sunset to clear orange slide-in filter to add orange to
1 x graduated sunset to light sunset slide-in filter to add more
orange to the sky and some to the sea
Using a 24-70 lens I managed to stack all of these without getting vignetting. The slide-in filters were mounted in a Cokin holder which is only meant to hold 3 but the 4th can be encouraged in to the small gap closest to the lens.
Image tech: Nikon D300 / Nikkor 24-70 F2.8 lens / 29mm @ F8 @ 30 seconds