I've both dumped them into the fermenter and used a hop sack in the fermenter. I'd have to say, I prefer using the hop sack. For one, I pulled over a lot of hop matter when racking into the keg on one batch, so the first 6 pints or so had hop bits floating around in it. Doesn't hurt the beer, but it's kind of a turn off serving a beer with non-yeast floaties. Also, if I'm harvesting the yeast, it cuts down on the stuff in the slurry that I don't want in there. I've never weighed down the hop sack. Not sure if it makes much difference or not.
I usually use buckets for fermenting, so removing the hop sack when I'm done is easier than trying to get it through the opening on a carboy. I've had to remove hop sacks from carboys when cleaning up, and it is a major pain.