Implementation of FIR and IIR Filters using Arduino

MorganS:
OK, so you're just processing samples as they come in over Serial and you can control that rate so the Arduino doesn't get overloaded.

Yes, and the method of inputting the data is still unclear. I could get an AUX cable jack and input sound directly from the computer, or I could just pass a signal to the Arduino through a MatLab interface. I'm not sure which one to do.

MorganS:
Where is the data supposed to go after it's processed? Back to Matlab on Serial? Save it on an SD card?

If it could be displayed somehow, that would be great. Maybe I could use Processing to show the filtered signal on the computer screen?
If that's not possible I can still output it to MatLab and show my professor that as well. But a display of some kind would be perfect for presentation.

Addition:

Do you know any code examples where filter coefficients are used to implement a filter in Arduino, both as an FIR and an IIR filter? That would really clear up my concepts, I only seem to know the theory of IIR and FIR but nothing about actual implementation.