Yep that's what I use. You could try the coconut but I just don't know how those crushed bits work. The pellets allow for easier containment and airflow. You really want the whole thing to flow easily as it should already be filtered by the in tent fan/filter combo. This is just a final scrub to keep it undetectable.
The outer furnace filter wrap is really what holds it all in there. Get a nice tight fit on the lid where the PVC pipe goes through. I caulk mine once done. Filling is a bit tricky as you have to hold the pipe in place and gently pour the pellets in around it. I wear a mask and gloves, use an old cup to scoop it in little by little. The pellets are clean but dusty and you don't want to breathe that in. The 20lb bucket is more than enough to fill the new bucket and once the outer layer is full I pour a few scoops down the pipe itself.
You could also use the excess as just an in room odor absorber. Put it into some cheese cloth and hang it. Passing air will get cleaned a bit.
I should build a mini system to show you guys.....