Strain if you like, but it had better be a very fine strainer. Most of the trub material will fall out of suspension on it's own. If you want really clear beer, then cold crash it to have the yeast fall out of suspension too. Here is what cold crashing gets you if done properly. This was a AG IPA with 3 weeks in primary (1 week primary fermentation and 2 weeks of dry hopping).
I've tried using a paint strainer bag twice now, and both times the bag clogged up and then broke dumping all the crap that I was trying to filter out into the fermenting bucket anyway. Now I just dump the entire contents of the kettle into the bucket like I always did. It all settles to the bottom by the time I rack the beer to the bottling bucket anyway.