As Girimama33 said, they do provide a small bag when you get your wristband. Last year, the bag was 9 tall, by 7 wide, by 3 deep. They also sell re-usable bags and a lot of folks use those for trick-or-treating.
Last year we brought a backpack and kept that in the stroller and kept emptying the small bags into that. It was nice not having to carry around a heavy bag. We ended up with around 12 pounds of candy and didn't really trick or treat for very long.
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