[h=3]Your tail rotor servo wire, on a boom mounted servo, tends to end up  with its cable running a long distance from the rear of the heli up to  the gyro (or from the gyro to the receiver).  It's also usually routed  along side the heli as a straight shot to where ever the other end plugs  into the gryro or receiver.  Quite often, a servo extension is added to  the circuit. As such, it makes a pretty good antenna for not only  picking up external electrical noise that could end up in your power and  signal lines, but it also makes a good antenna for radiated noise --  the electrical noise generated in the servo (especially if its a digital  servo with a microcontroller inside), and the electrical noise  generated in the gyro by its microcontroller.  This noise is random  frequency loaded with many harmonics, and could possibly interfere with  your receiver's ability to process the transmitter's signal correctly  (noise radiated back into the power and signal lines can also mess up  your radio's ability to function properly, too). 
The purpose of the ferrite "donut" is to change the  inductance of the wire and substantially reduce the ability of the wire  to act as a noise emitter, and as a noise receptor - within a small band  of frequencies. Ferrite beads and other special ferrite shapes are  commonly used in most consumer, industrial, laboratory, and  aviation/space electronics to attenuate and control Radio Frequency  Interference (RFI) generated by the equipment , and reduce its  susceptibility to Electromagnetic Interference (EMI). 
And you're correct.  You really need to know which  band of frequencies you are trying to suppress, as the ferrites are  designed to attenuate noise in different ranges of frequencies.  One  size does NOT fit all. 
I don't believe their use is that common in the RC  helicopter world.  They may show up a bit more in the large "giant  scale" aircraft world, as these folk not only have lots of servos  scattered all over the plane, but they use a lot of servo extensions.   The longer the wire, and the more more of them you have, the better  chance you have that they will act as antennas that receive and radiate  RF noise. 
One place where they seem to be used quite frequently  is in the electric powered airplane market.  The use of brushed electric  motors is like putting a HUGE RF noise generator in your plane.  The  brushless motors and their controllers also present a good opportunity  to act as noise generators.  I've seen quite a few references in RC  Modeler, Model Aviation, and other model magazines recommending the use  of ferrite donuts in electric powered planes.  I suspect that the  electric heli crowd will discover the advantages of ferrites soon, if  they already haven't. 
The ferrite donut with the wire passed through it  forms an "RF Choke".   A radio frequency choke (RF choke) is a circuit  element that presents a high impedance ("high resistance") to radio  frequency energy while offering low resistance to direct current (like  that from your battery). 
RF chokes are frequently used in series with power  supply leads both to keep RF from coupling to power supply paths and to  prevent power supply components from paralleling undesired impedances  across the RF circuit. 
In the earlier days of RC, servo cables, battery  cables, and switch harnesses were made out of wires that were twisted --  say twisted pairs, triples, or quadruple wires in a bundle.   As  systems have evolved, we now see that the cables used in today's systems  are made up of flat cables, with parallel wires (look at a Futaba or JR  cable). 
The older, twisted wire configuration was actually  advantageous for controlling RF interference and EMI susceptibility.   The twisted wires, especially since the ground wire was included in that  bundle, prevents the cable's ability to act as a noise radiator or  receptor. The newer, parallel sets of wires actually enhance the cable's ability to act as an antenna. Simply putting a few twists in your cabling as you  route those wires goes a long way towards reducing your chances of the  long, straight cable runs acting as an antenna.  It may not look as  pretty, but electrically, it is beneficial to your system's operation. Dave[/h]