Hi Buddyman100, Very important is to encapsulate the VFD in a thoroughly closed metal case. You can use alu (at least 2 mm thick) or soft steel. Ideally mu-metal but that's very expensive and must be treated with caution. Avoid (small) slots in the case that can act as antenna's for the interfering frequencies. Connect to the wall socket as well to the motor via filters from the type you showed. Use shielded cord of good quality for the motor connection with the shield thoroughly connected to the case. Mount the filters as close as possible to the wall of the case in order to let the outside connections to the filter as short as possible.
Both current wires of a cord are connected to one side of the filter. The other side of the filter is connected to the electronics. The midpoint of the two capacitors is connected to the earth connection of the wall socket and to the case. Use thick wire preferable multi stranded wire.
I hope this will be helpful.