I am replacing the air filter for the first time. I came to find out the person before just used two filters that were size 20x20 and overlapped them. The size of the actual duct is 36x20. The 36x20 are super expensive, so I was thinking of doing what the other guy did, but I read somewhere that air might escape through if there are holes. What should I do?
In order for your air filters to work correctly, they must be the exact size made for the filter box otherwise yes, dirt, dust, etc. will get sucked right through the gaps. Even if you were to seal the gaps with duct tape, it would only last a little while before it came off. Your AC system will last much longer and be more efficient which will save you more money than the little savings you get from the previous occupants cheap fix.
I think I would buy a replaceable medium frame that can be cut to size and the filter material in bulk like 25' or 50' at 36" then cut a new piece every month and replace the old one. This has saved me many more dollars over the years and 2 friends that love them. It takes a few minutes to cut and install the new material but is way cheaper than standard filters. Note if you need very high levels of filters these are not quite as good but better than 2 overlapping filters.
I'd consider having a filter holder made up that held two of the cheaper 20x20's at a sufficient angle that the full area of each was working, and made in such a way that the frame of each was fully engaged. Less (replacement filter) cost, more active filter area. How hard that would be to retrofit would depend on your particular installation/constraints.