I'm one of those brewers who does not secondary and will always dry hop in the keg. I use a small cleaned section of my wifes old pantyhose (the leg part, of course

) and tie it closed with around three ounces of pellet hops (depending on the brew) and then tie that around the dip tube near the bottom with some fishing line. Just make sure that the bag won't reach the bottom of the dip tube because when it gets to the bottom I have had a bag get caught on the inlet once and clog it up.
TimO