I did it once for a 3-gallon stove-top batch for our club's strange brew competition. It worked fine, was fun to try, and I might do it again for small or experimental batches. I got much lower efficiency than I do when I batch sparge - 60-65% vs. 80-85%. I used the same kind of paint strainer bag that I use as a hop bag in my brew kettle. The trickiest parts were stirring at mash-in, and removing the bag at the end of the mash without making a big mess in the kitchen.