You can and must file an airborn IFR flight plan if you are going to enter CAS or advisory airspace whilst still IMC.
An FPL is not required in "advisory" (presumably class F?) airspace unless you wish to participate in the advisory service -- in other words there's no compulsion to do so just because you're in IMC. It would, of course, be pretty daft not to participate if such a service is available.
To answer the original question, what you
must do on entering IMC in class G is:
a) obey the quadrantal rule (30) and
b) obey the minimum height rule (29)