The underexposure with grad filters is a issue that many experiance when they first start down this route. A lot depends on your metering modes and which points are activated. The best advice for now is to shoot in RAW mode so that you have the extra stops of lattitude to play with once you are back infront of the PC.
There was another thread specifically about this topic not to long ago...give me a min and I'll see if I can dig it up for you
