I have dry hopped without a bag in the primary. I like the simplicity, but it was a pain to siphon into the bottling bucket. My siphon started bubbling a lot towards the end as the hops got sucked towards the siphon. I don't know if this would oxidize the beer, but I stopped at this point to avoid oxidation...lost about 5 beers to this. I highly suggest using the nylon bag.
I have heard that dry hopping in the primary is less affective, but I didn't find this to be the case, although my experience is limited.