I have Honda City 98 that was converted to CNG in Feb this year. I have always used the SHell Helix Blue oil for my car. But for the last two changes I have used the engine oil provided by Honda. Both Shell/Honda last 5000 KM. But Honda option is cheaper.
As far as the filters r concerned, try to get the air and oil filter from Honda ppl. The genuine honda air filter costs around 900 Rs., The cheap alternative costs around 250. I would recommend the genuine expensive one. It pays for itself. I get around 1.5 Rs./Km with A/C in-city for the first 5000 km with the genuine filter and now it has increased to 1.7/KM. I have used the cheap one also but that increases the cost per km to almost 2/km with A/C within city plus the performance will decrease as well.
I'll change the air filter in a weeks time approx after 8000 Km, though u can use it for 10000 Km. Another tip: Clean ur air filter after every 2-3 weeks(Something I have not done for the last 2 months )
And for the next oil chnage I am thinking about trying Castrol Magnetic. It costs 1500+ but they say it lasts for 8000 Km easily.