In my experience dry hopping, I have found whole hops to work the best. These can be added directly to the fermentor and are easy to separate out when it comes time to transfer. If you are using pellet, I would suggest putting them in some kind of bag. I even know of one person that uses women's knee high stockings (sanitized of course). You can find bags at homebrew retailers that are marked for exactly this purpose.
Cheers