One annoyance of using a hop bag is that if you do it in a carboy, it can be difficult to get the bag out. The pellets will expand as they absorb liquid, and the neck of many carboys is quite narrow. If I know a beer is going to have a serious dry hop (or fruit, or whatever), I use a plastic bucket instead.
As for weighing, yeah a few marbles or rocks or whatever (sanitized!) isn't a bad idea. I haven't conducted any controlled studies, however.