What is the best bed bug bag to use to kill them?

I wish there was a bag you could get them into but it would be like herding cats.

The closest thing to a bag are mattress and pillow encasement's.

With any encasement you just trap the bedbugs inside it. They can't get out and they can't bite you but if you have bedbugs that are hiding in places other than your mattress & box springs the encasement's can't protect you from them. After having the covers on for up to 18 months the bedbugs and their offspring will have died so you must leave those covers on without taking them off for at least that long.