I have yet to try felting anything, but from what I've read on the subject I believe that usually once you've felted your object in the washer you just lay it out to air dry into the finished shape/size (similar to if you were simply blocking an item). With a bag, I would think I would stand it up and stuff something inside to help it hold the shape I wanted. For example, maybe you have a shoe box or something similar that is the right size/shape? Something along those lines to force the bag to dry into the shape you want it.
Perhaps others with more felting experience will have further insights .....??