Pellet hops can be a little messy, but I just add them to the boil directly. You can put them in a nylon bag to keep them contained, but you may also get less hop utilization from them that way. After the wort has been chilled, just run everything through a sanitized strainer or colander and you'll get most of the hop material out. It will also help with aeration. The little amount of hops that get in the primary won't hurt.