The problem with applying the filter manually is that you lose the original paths. However, there is a way to round your corners non-destructively. Here’s how:
First, select the filter ‘Round Corners’ at Filter > Round Corners and enter your radius value. You will see a preview right away.
Don’t click ‘OK’. Instead, click the gear wheel and select Copy Custom Parameter.
Press ‘Cancel’ and open the Font Info (Cmd-I) and go to the Instances section in your Font Info window (Cmd-I) Then, add a new instance by pressing the plus button in the bottom left corner. Make your settings to your liking. You may want to give it a Style Name like ‘Rounded Regular’. Now, add the Custom Parameter by pasting it with Cmd-V.
The next time you export your font family, you will get an additional rounded font! That’s cool.
Update 2016-02-19: Easier way to add Filter and updated for Glyphs 2