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Depends on the guage of the plastic. Even large screws are sometimes sold in bags though those bags are probably too strong.
Checking ebay I found stuff like these:
It seems there are at least three thicknesses of plastic: 50, 75 and 87 um and the bags are available in all manner of sizes. I'm not sure how thick the bags should be for a given size of screw (and I guess it really depends on other factors too such as the polymerisation) but there seem to be plenty of options.
James