Yes. A bridge has two personalities - an ethernet switch and interface to the CPU. By default ethernet ports connected to the CPU through a switch chip use port based VLANs to segregate the traffic - this is not visible in Winbox / CLI. Placing ethernet ports into a bridge changes the switch chip configuration so the ports are connected together, then 802.1Q VLANs configuration can be made in under /interface ethernet switch
Do I need to enable VLAN filtering on the bridge also?
On CRS1xx/2xx and RouterBoards enabling bridge VLAN filtering disabled hardware switching. Typically you either use a VLAN-aware bridge which utilises CPU resources, or a non-VLAN-aware bridge with hardware switching & VLAN filtering.
Where would I place a VLAN interface? On the bridge?
Yes, it provides the interface between the VLAN and CPU. If you are switching many VLANs you would typically only have a single VLAN to the CPU for management access.