I've never had a ton of luck taking long exposure photos of waterfalls like that. I think part of it just had to do with the limitations of my camera. I might have to play around with it a little more next time. It is so rare that I carry a real camera with me anymore though.
I had tried cheap ND filters on my older camera a few years back and they were terrible gave such a terrible color cast and reduced the clarity a lot, this set works well, of course you need a good sturdy tripod as well