I use the bag and filter in my Rigid.
Without the bag my filter would clog pretty quickly. Now it barely even gets dusty.
I also have it hooked to a cyclone and notice no loss of suction. When it cranks up the hose going to the cyclone contracts pretty good so if anything I believe the cyclone is the restriction.

 

You don't need a bag with a cyclone. If working properly there should be only a miniscule amount of dust entering the shop vac.

 

That might depend on the cyclone. I have a Dust Buster on a bucket. While it does an ok job, it doesn't seem to remove the finer dust very well. I also use a swimming pool filter sock over the filter in the vac. While the sock does filter out some of what little makes it into the vac, my filter is getting dirtier faster than I'd like. When I change the sock every once in a while, I also tap out the filter. That's really messy and definitely an outdoors task. So, I've been thinking of using a bag too to see if it helps. Reasoning here is more of that fine stuff will get caught in the bag instead of my filter, and that bags are cheaper than the filter which is a little pricey.

 

I recently ditched my cyclone after I got a dust extractor. I think the bags serve a similar purpose as a cyclone...namely they both protect your main filter from clogging. The form factor of the bags really helps with disposal and mobility of the vac. The cyclone may be cheaper than disposable bags in the long run, and dumping the bucket is easier than dumping an untagged shop vac.

Whether dumping a bucket or tossing a bag is easiest is probably debatable.

 

Do you run the bag and filter together?

 

If you are referring to a drywall type dust bag that covers the cartridge filter? then yes they are run simultaneously.
like this:

Vacmaster Cloth Filter (4 to 16 gallon), VRC5, Set of 3 - Vacuum And Dust Collector Filters - Amazon.com

Vacmaster Cloth Filter (4 to 16 gallon), VRC5, Set of 3 - Vacuum And Dust Collector Filters - Amazon.com

www.amazon.com

OR these which line the collection barrel:

Amazon.com : drywall vac bags

 

I have a ridgid shop vac connected to a Oneida dust deputy plus. I use a hepa filter in the vac with a filter bag to keep the filter clean. The dust deputy is connected to the vac with a hose about 6 feet long and I use a 25 foot long hose attached to the dust deputy. It works well and I can reach the entire shop with the arrangement.

 

@Retired1
this maybe of some help Is Your Shop Vac / Dust Extractor Mobile? also Shop vac or expensive dust collector
also another Shop Vac Advise

Best advice I can provide is that you use some sort of cyclone separator to get the larger course material out of the Airstream before going to the vacuum. If you're working with very fine powdery type dust from sanding Etc then the Cyclone will separate some of it but the very fine stuff will still make it through and to a good bag type filter,
as it goes into the vacuum that will leave the least amount of dust being exhausted out of the vacuum back into the air to where you're working.

my setup looks like this.

it meets my needs.

It was originally set up to reduce the amount of cleanup from all the dust from the table saw bandsaw Etc.
Did not use the fine filter in the vacuum at that time now that I'm doing smaller work and doing more sanding and belt sanding scroll saw work which generates also a lot of fine dust I added the fine filter bag to the inside of the vacuum.