A rapid exchange sheath comprising an elongate tubular member, a guidewire, and support wire having an expandable filter at a distal end. The guidewire passes through a first opening at a distal end of the tubular member and a second opening a short distance proximal from the distal end. The support wire is received in a lumen of the tubular member, or, in certain embodiments, extends proximally through a third opening a short distance proximal from the distal end. Methods of using the sheaths for deploying and/or exchanging medical device(s) in a patient's vessel are also disclosed.