I use a bag as well as the filter. The bag catches most of the particles and delays clogging of the filter.If using the vac outside then remove the filter and/or HEPA filters to improve the suction quite er... dramatically!
You could replace them again after, but you'll probably find that they're minging and pretty much blocking it so need renewing instead.
Fleece bags are particularly good but are more expensive than paper ones.
Removing the filters and bag is likely to damage the motor and the fan bearing.