I agree with many of the above posts. For reference sake, here is what I normally do:
I do secondary fermentation when the beer is a higher gravity, or if it needs extra ingredients such as dry hopping. I rarely use a muslin bag or any sort of filter, unless there are LOTS of additions. Normally, I siphon the beer with an auto siphon from the primary to the secondary... there is no special technique for me. Some people may have a better process to prevent oxygen exposure, but the simple one works for me. Then I let it sit for a little bit (sometimes up to 2-3 weeks) before I make additions. However, some beers are better made when you put the additions in earlier. Most of my dry hopping experience has been when I add items that have been soaked in a liquor (vodka is a good choice to extract the flavors of the items, bourbon will add an oak flavoring, etc.) and for me, that gets added after a few weeks in the secondary fermenter. I personally haven't made many beers where I was actually using hops during my dry hopping.
A friend of mine added extra hops to the secondary immediately after he transferred to the secondary. It could all be dependent on the style of beer, the reasoning for dry hops (maybe just because it's necessary, maybe to add extra flavors, or maybe just to offset some additions you made earlier). He added his dry hops because he brewed a blonde, but added a lot of citrus to his boil to hopefully get a zesty blonde. But then he needed to add more hops to try to balance all of that new stuff out.
I have yet to use a filter of any sort when dry hopping, I just throw it in the carboy. Cleaning isn't that bad. Once it's empty, spray water inside using a hose, try to get a high velocity spray so either use your thumb over the opening or a nozzle. Then, empty the water, use a carboy brush to get any extra debris off, and then rinse it all again. I have never needed to do more than that to wash out a carboy, it comes out looking clear, and then just make sure you sanitize it again before you use it (I normally sanitize on the day of the next brew).
And again, make sure you have fun! I understand the desire to make a good beer, that is also part of the fun! But, there is no shame in making a weird tasting one, because you learn from your mistakes, and it will still taste OK. Then, the next one will be better. Unfortunately, sometimes in this hobby, it takes a few under your belt before the beer starts coming out great, so just make sure you pay attention to details so you know what to do differently next time.