They can be loose, just as long as they don't fly away, and use elastics on the bodies if necessary. It's actually easier if they are loose because the coefficient of friction of dead rats on foam is damn near infinity, and otherwise it's difficult to get them on and off without being rough on the foam. So, yes, pocket as opposed to socks.
Only other consideration is that I generally try to fold the fabric so you don't have a big seam right over the end (where the sound is passing through). Instead, make the seam around the edges.