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Good question Carsten. I'm not certain if one way would work better than the other. For me, haze has always been a hard thing to undo. But sometimes you don't have the opportunity to come back on a day with no haze.
Personally, I always try to capture the image as close to as I see it first in RAW. From there, it is subject to my internal filter as to what I'd like it to look like as a final image (as we all have a unique way of seeing things). I tend to bump saturation and color up a touch on most shots as that is a look I prefer.
Yup, I do the same. Your post just triggered the thought. If the orange filter cuts haze (doesn't store as much blue), yet doesn't distort the colours too much (perhaps yellow then), it might actually be possible to revert, without the haze. The question is two-fold I suppose: 1) is the haze latently there somehow? 2) how much colour would be lost this way.
Helping out the second item is the fact that long-distance shots are often pretty monochrome anyway. It would be interesting too to shoot two shots, one normal, one with filter for the far parts, and then combine them with layers. If one was willing to go mostly monochrome, then it would even be possible to shoot with a red filter and change the red to blue afterwards.