If it is, then we're retarded together. This is the exact process I follow with the exception that I heat my sparge water in the same kettle I boil in and put it into a 5G round igloo as a "HLT".
I was using a bazooka screen in the MLT, but had efficiency issues. With the bag I can mill finer, get better/faster conversion, and raised my brewhouse efficiency from 61% to 70%. Not a big deal for my IPA's, but I want to brew some 12+% stouts and going in with a crappy efficiency was not a recipe for success.
Mill it finer yet and get your brewhouse efficiency up more.