The best way to deal with it depends on several things including your equipment. ie carboy vs bucket as a fermentor. I usually use hop bags in the boil kettle. You don't have to be perfect in the boil kettle as you will end up with hot and cold break material in there either way.
As to in the fermentor, I use a carboy and I just toss the hops in loose for dry hopping. I used a bag once in the fermentor, and I think you only need to have the experience one time of trying to remove a bag of swollen hops through the neck of a carboy to abandon that practice.
To keep hops out of the keg, I use a piece of very fine mesh fabric that I rubber band around the end of my racking cane that goes into the beer. You could use a small hop bag or paint strainer as well. It works pretty well.
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