On the sodium filters, remember they are fairly thick at 2mm and as the website said they are not suitable for lenses wider then 50mm. I would want to test them first. They're quite expensive too, so I would only spend on them if you do a lot of night photography in colour, I'm inquiring about the cost of 77mm for the 70-200 f2.8 - probably over $200

White balance filter?
It might help in setting the balance.
Basically it's a diffuser that spreads out the light from the scene over a white core.
Then you set the white balance from that instead of from an image of the scene.

But if you're still fighting against the orange lights, then it may not help.
Another alternative is to shoot in RAW and do the colour balance in software.

But I agree getting the balance right in the camera is a good start, if you can block out or avoid the orange lights your worst problems will go away ...