I've seen it done with paper bags.

I have found mine to mold inside of a paper bag with some holes as well as plucked from the stalk and allowed to dry inside. The only way I seem to keep them from molding is to harvest and separate from the seed head and air dry.

Hopefully you will have better luck than I.

Wouldn't a plastic bag hold heat/moisture and steam the seeds instead of drying them?

My mother and grandmother always used old nylons. They went on when they were 3-4 inches in diameter and stayed on until after harvest and drying. It kept the bugs and the birds out.

I used panty hose last year with perfect results. On northwestedible.com I learned that if you can buy a box of nylon footies that shoe stores have, you can use those. I bought cheap knee high panty hose in multipacks and snipped off the foot, wrapped the flower and tied (if needed) the excess into a knot to keep it from pulling itself off. For the subsequent flowers you can simply tie a knot in the cut panty hose end, cut off a section, wrap and knot it around a flower, and repeat the process with the next flower. Mold free.