My brother had a 'grease car' (mercedes that burned coking oil) and when he would go diving for grease, he would pour it from the transfer bucket to the filter bucket through a cloth filter.
Allow me to explain:
He started out pouring the oil through a pillow case to catch the big chunks of onion rings and whatever else, thinking that he could wash and re-use the pillowcase. After washing them one time, his wife put a stop to that. (**** hath no fury...)
So, he went to wallyworld and bought a bolt of cheapo fabric. It was kind of like pillowcase fabric but had a tighter thread count (?). His wife would then cut off a square, fold it in half, and sew the bottom and edge together. Instant disposable filter bag!
I would think that the same thing would work for WMO, just get a thicker material.
The benefit of this is that you have the whole surface area of the inside of the bag to catch gunk, and the "clean" oil runs down the outside of the bag and into the bucket. (think of a solar still)
Pretty slick. No pun intended.
