Dry hop in the keg!
Previously I have hung the bag inside the keg using a bit of dental floss, which doesn't seem to break the seal.
I do this when I'm not overly impressed with the final product! The dental floss is a great idea, thanks....usually I just chuck the bag in. I also only own 2 kegs and a 2 tap system, so usually I start drinking a couple days after kegging. Generally I like to dry hop 10-14 days.