I did the same thing with my furnace. Just to try it I switched to a high merv filter rating and could immediately notice the considerable reduction in air flow that it was causing (and presumably increased strain on the furnace). Seeing as it was a bit more restrictive than I expected, I ended up ditching that and going back to a weaker merv rating filter (haven't gone back to the blue fiberglass style filters, just going with a weaker merv seems to do the trick, haven't had any problems with increased wear on the furnace in the last ~8 years).