The bag they give you is the size of a small paper gift bag. But if you look in the halloween section of the disney shops they sell a halloween-themed bag which looks like a reusable grocery bag.
Or, if you’re carrying a backpack or bag of some other kind, keep a gallon Ziploc bag in there and offload as they get full. Although at our last party that wasn’t an issue—the three of us only ended up with enough candy to fill one bag....grr
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