I use a Planetwise hanging wet bag. It's worked out great for me. There is no smell, and it's easy on wash day, just pick up the bag and bring it to the laundry room and toss it all into the washer! My only complaint its the zipper pull is REALLY small, so I tied a looped shoe lace onto it.
I never used a pail, so I can't really compare the two.
I really love our MFD (Monkey Foot Design) wetbags. I had her make custom XXL ones with two top snap straps to hang it from the side of the changing table. It contains the smell really well, and I love them so much more than the PW ones I had.
Whether you do a wet bag or a pail liner, both should be used dry.