I wouldn't bother with a bag, just toss the pellets in. You don't need to filter them out unless you're using a CFC or plate chiller to cool your wort. They won't cause any problems in your fermenter.
"You never can tell with bees." --Winnie the Pooh
In kegs: Shae's Braggot; English Cider; Doppelbock; Semi-Sweet Mead, Raspberry Cider, Apfelwein, Belgian Golden Strong Ale
In Bottles: Raspberry-Vanilla Melometh; Cherry Melomel; Vanilla Metheglin; For Heaven's Sake;
In Secondary: Traditional Mead (basswood); Traditional Mead (honeysuckle); carrot cake mead; Pirate Ale; Ginger Beet Ale; American IPA, pumpkin ale
In Primary: Berliner Weisse
Up Next: Oud Bruin