It works just like a teabag. I don't really like these things though. I liked them for awhile, but they really don't hold enough hops to get a really good dryhop effect.
Some people let them just sink to the bottom, and others will use a length of fishing line, dental floss, or some other thin string to tie it off so it's easy to pull out before bottling. IMO, it doesn't make much difference since you usually go right to bottles/kegs after dry hopping, so whether you can pull the ball out before or not isn't much of an issue.