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I've never tried it, but panty hose (preferably unused) are often mentioned as a grain bag, and I've seen brewers saying that they used them with hops as well. Or, you could just throw them in loose and let them settle out, like a lot of brewers seem to do.
I've used cheese cloth for years...it's only .50 a square yard at any fabric store. You just cut off a square from the end, put your hops or steeping grains in the middle (I leave the cloth folded over so it's double thick), tie the two opposite sides together in a knot, tie the last two opposite sides together in a knot, and drop it in. Works like a champ for grains and I'd assume it'd work the same for dry hopping.
I'm with ibrewalot, I use cheesecloth. But being a basic cheap scate, I tie the ends off with dental floss so I don't have to use as much cheesecloth. I then leave a long string of it out of the carboy so that it is easier to remove come cleaning time.
I have dry hopped a number of times, IPA's a couple of imperial beers, mostly in the carboy and in a latest brew in the primary for a week after fermentation stopped. Each time I have used a hop bag, (small ones that only hold an oz of pellets in the carboy). I had on bag open once and 1 oz of hops floated on the top, I moved it to a tertiary and still have some floaties. Should not be a problem.... If you like hops (I do then go for it.
I found some cheap mesh bags smallest is 2 1/2 x4 bought 50 cost about .19 each before shipping.