When I was a kid, my brother and sisters always used pillow cases to hold our candy.
Also back then on October 30, we called it "beggars night" and we
did haul in a lot of candy that night as well. Probably the reason we thought of using pillow cases!
Edit: I just burst out laughing at Slothboy's reply. It made me recall
a story my father told me once: During one Halloween, he started to run out of candy. So at that point,
he would put one piece of candy in a kids bag, kinda like hiding it, and then when he put it in the bag,
he would thump it, so the kid thought he was getting a large treat!