It's strictly up to you. When I did extract and extract with grains brewing, I usually used muslin hop bags, simply for the convenience and ease of clean-up. Now that I'm doing all-grain full boils, I don't bother - I just throw the hops in. I did that with some of my extract brews, too. I should also mention that I have been using whole hop flowers for the last year and a half. Prior to that, I was using pellets.
My only tip would be to make sure and not pack the hops into your hop bag too tightly . You want them loose so that you don't have any dry clumps. You want that wort to saturate those hops and get all the flavor out of them that you can!