I put some stuff into the box with the bicycle, but the rest (including the panniers) I place all together into a heavy canvas laundry bag .... the kind you can pick up for $12 from Walmart in their laundry section. Don't scrimp and buy the $8 one with no shoulder strap ... splurge and get the one with
the shoulder strap, it makes a world of difference when you've got to haul the bag from point A to point B in the airport (or bus station or train station) and you don't have the correct currency to pay for those little carts.
The great thing about these bags is that they are light enough to carry with you, and they make great pads for under your mattress, or folded they can become a second pillow. I think I've even used mine draped across my feet on one occasion when it got quite chilly that night.
Or if you discover you brought too much stuff and have to store some at a friend's place for a couple months while you tour, you can put all your extra stuff into that canvas laundry bag so that it is in one convenient location. That way when you get back to your friend's place at the end of the tour, you can just pick up the one bag.
I've been using the canvas laundry bag method since 2003, and it works very well.