just add them in. Everytime that I tried using a bag for pellets they just mushed up and went right thru anyway. I started just tossing all of them in to cut another process and time and money. just use a strainer when going into the primary .
Strain if you'd like, but it's not necessary. If you're using a carboy for a primary fermentation vessel, it's a pain to strain with a funnel in place. If you're going into a bucket, I use this strainer and absolutely love it!
__________________ On deck: Peat-smoked Porter Primary 1: air Primary 2: air Secondary 1 and 2: air Bottles: air/dust