That's quite similar to the ones we make, but we put screens between the coils. I compared the filters with and without the screens, and the improvement in the higher harmonic products was significant with the screens in place.
The best filters we use (for higher power gear) use coax lines as resonant stubs, tweaked accurately for the frequency in use. The higher power gear always uses pairs of output devices, which has the advantage of tending to null even harmonics. The normally predominant 2f harmonic is several dB lower than the 3f before filtering if the PA is accurately balanced! This has the advantage of reducing the stringency of the filters needed, especially for the lower harmonic products.
With a conventional filter like the one Zozo shows above, it's crucial to have really low impedance earthing and make sure that the PA is accurately impedance-matched to the filter to minimise losses and to minimise heating problems. It's interesting to play with the "sense" of the windings - you can get a couple of extra dB of harmonic suppression by winding the first coil clockwise, the next anticlockwise, and so on. The improvement is marginal but reducing the mutual coupling between coils helps a little.