I use hop pellets and extract. Using actual hops would probably be different, but it will take a pretty fine strainer to take out what is left in the wort when you use pellets.
I've never bothered straining them out and the brews have come out fine. If you do decide to strain, remember to make sure that your strainer is thoroughly sanitized. I recommend the simplest one you can use - maybe a plastic, one piece design. I looked at some real beautiful strainer designs, with stainless steel mesh and riveted handles and all sorts of cool features, and all I could think of was, "Look at all those places bacteria could hide."
The short lesson from this is, do what works for you. Once you get a beer style and a brewing method that works, don't change it because of what someone else does. Change it if and when you perceive the need for improvement.