No worries...
You are almost there I think, its that tutorial that's not making it clear what to do...
Its important to have your animation, (less filters), finished, ready and working BEFORE applying any Smart Filters.
So...from a point of having all your layers and frames creating an animation you now want to add 'a' filter to all the frames.
If you look at the 'Timeline' window (Which will currently be in 'Frame Animation' mode) you should find somewhere a small icon that will toggle to 'Timeline' mode.
For CC 2014 this is bottom left of that window.
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Then use SELECT > Select All Layers...
Then use FILTER > Convert for Smart filters...
You'll get this warning dialog...
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Click OK.
Now you can Add any filter you like and it will affect all the layers in the smart object.
From here you then need to save out your gif animation using 'Save For Web...' and the preset 'gif' from the dropdown list.
You can preview your animation in this dialog but it will play FASTER than it will when saved....so don't change it thinking its wrong....it isn't.
Thats it.
I would advise saving the original PSD file too just in case you need to edit it later.
Dont be afraid to ask again if you are still unsure.
Regards.
MrToM.
