Yea, the light weight bags work the best. It seems that I alway have at least one Lowe's bag in the truck.

The way I do it is I rip off part of the bag and twirl it around but being careful not to twist it too tight. When ever I feel that its just the right size. (Fits loosly in the pipe but touches on all sides when its folded in half) I tie the string on at the fold which will become the leading side when its sucked through the conduit. Stuff it into the pipe, turn the vacuum on and let her rip! When it goes into the vac the vac makes a different noise.

The baggies work especilly better when sucking through field bends in EMT or PVC. The pistons usually get hung up on field bends.