Which filter size should I buy? The 4x6 is twice as much...
I am currently using P-sized Singh-Ray GNDs with my Canon 17-40. You can definitely use them in a filter holder down to 17mm with a
crop FOV camera, although you probably can't stack filters (possible vignetting). I haven't tested this set up at 17mm with a FF camera.
That said, the 4 x 6 filters are mostly used
hand-held with 35mm format cameras, not in a filter holder. The larger size makes them easier to hold and not get one's fingers in the picture. The advantages of hand-held GND filters are speed and convenience. The downside is that they are more prone to scratching.
I personally intend to replace my P filters with 4 x 6 as they get too scratched to use. But as you note, it's an expensive proposition.
If the cost makes you hesitate and you have Lightroom or Photoshop CS5, you might try its Graduated Neutral Density filter to see if that works for you.
Paul