We don't do lolly bags. I think the kids have usually had enough treats by the end of the party, and my guess is the parents don't really want any more little trinkets to clutter up their homes!
What we have done in the past is to make sure to take a picture of each child at the party, then we use that picture to make a laminated thankyou card that my sons hand out at school the next day.
We had a reptile party one year, so we got a picture of each child with a python hanging around his neck. Another year (most recently) we went to an outdoor ropes adventure course in a state forest, so we got photos of each child coming down the flying fox.
I've never had any children ask for their lolly bags at the end. Sometimes they look a bit expectant, and I just say, "Thanks for coming, hope you had a good time!" and send them on their way.