You still get cold break, but it goes right into the fermenter with the wort. The best strainer out there I know of is the "Hop Stopper". I've never used one but they are nice. Instead I always just put a SS scrubbie over the end of the dip tube and that filters out the whole hops just fine. I've also used hop bags. I don't worry much about the cold/hot break getting into the fermenter, it all settles out.
"People should not be afraid of their governments. Governments should be afraid of their people." - V
Secondary: Shady Lord RIS, Water to Barleywine, Pumpkin wine, burnt mead
Kegged: Crappy infected mild
Bottles: Apfelwein, 999 Barleywine, Oatmeal Stout, Robust Porter, Robust smoked porter, Simcoe Smash