I've heard recommendations from Matt Brynlson of Firestone Walker to add dry hops just before the final gravity bottoms out. That is to help scrub out or consume any O2 that made its way into the fermenter during the dry hopping. The trick is knowing when its close enough to the end. That means either taking gravity measurements or observing bubbling to determine when that is.
I dry hop in my primary, but I have a Fermenator with a Corney-type lid. That is one of the reasons I bought it, so that I can easily drop my dry hops in a sack into the fermentor. There is no problem with dry hopping in the primary excepting for adding the hop charge late enough to reduce driving off aromatics.
I'm in the Brynlson camp on dry hopping duration too. Only 3 to 4 days on the hops and then rack off the beer. This reduces the opportunity to impart grassiness in the beer. I personally prefer pellet hops since they are usually better preserved and their lupulin glands are well ruptured to let the lupulin better contact with your beer. Now if you have really fresh and aromatic whole hops, that is better than pellets. I just can't typically find them fresh enough.