Think of it like thick stiff cellophane that comes in different colours. The stuff that you see over stage lights.
Codes from my Rosco E-colour+ swatch book (which I think I just applied for online):
298 .15 neutral density, reduce light 1/2 stop
209 .3 neutral density, reduce light 1 stop
210 .6 neutral density, reduce light 2 stops
225 is frosted version of 210, so it would provide diffusion too
211 .9 neutral density, reduce light 3 stops
299 1.2 neutral density, reduce light 4 stops
The ones I actually used were 211 and 299. I recall 299 being over the top and reducing the light too much. 211 was useful. I just found a distributor in Bangkok and got them to cut me something like half a metre off the roll. The roll is something like 1m wide so you get enough for quite a lot of attempts. It was pretty cheap. Some places also supply smaller rectangular sheets.
Rosco "Cinegel" uses different numbers:
3403 ROSCO N.6, recude light 2 stops
3404 ROSCO N.9, reduce light 3 stops
etc.
I know that the e-colour+ is waterproof because that's the type I used. The blue discs I made (for cooling down tungsten-halogen) faded, but after a long period of use. Probably due to the heat of the lamps as much as being underwater, but who knows.
If your lights have a recess around the front bezel then you can cut a piece just slightly larger and "snap" it into the corner where the glass meets the metal and there is a little recess for the o-ring. My Sunray lights have a deep recess around the front bezel, about 50mm diameter, so I cut a piece say 51mm. I've had one or two fall out though. The best way to cut perfect circles is with a Fiskars circle cutter from a craft shop (then give it to the kids for their art projects). If the front of your light doesn't have a recess then you'll need to get inventive. Ideally you might make some sort of a filter cap that covers the whole front of the light and can be removed completely if you're shooting bigger subjects and need more light. It's amazing what you can do with plumber's pipe and solvent glue.
Jonny, topside on hotel shoots I often used big sheets of gel over my 6500k fluorescent lights to match up with the hotel's own lighting. The one I used was e-colour+ 204 "full CT orange", which converts daylight to 3200k. Amongst many others they also do a 205 "half CT orange" gel which converts daylight to 3800k. It could even be stacked up with an ND filter to get the light exactly how you want it. All depends on the look you're after. If you want night to look like day then a warm filter is going move the temp the wrong way. Also depends how you're white balancing of course.