Plain old white cotton work just fine for this.
I found that some really fine hop "dust" got through the bags, but then again, my keg got really severely shaken about during a long road trip and multiple settings up of my portabel kegging rig.
Bugeater dry hops in his serving keg all the time and I confirmed the method with him before trying it out.
You gonna take the bag out at any point, or leave it in there till its empty? I found that mine got all grassy and vegetal after a whille and I wish I had pulled the bag, but Bug leaves his in there till the keg blows. Of course, maybe I just need to drink my kegs a lot quicker
Thirsty