Make your headings bold.
This tip applies to tables and to the structures you use for charts.
Excel looks for the bold format when it reviews tables and layouts to figure out if your table has a headings row.
You can use Ctrl + Shift + L to add or remove the filter icons to a data table. There is also an icon on Data ribbon tab.
This will work more reliably if the headings are bold.
I use the following keyboard combination on the top left corner of the table.
Ctrl + Shift + right arrow (this selects all the headings)
Ctrl + b (this applies bold to the headings)
Ctrl + Shift + L (to turn on filters)
This combination can be done very quickly.
You can just use Ctrl + Shift + L within the table, but sometimes this applies the filter to the wrong row.