Sponge filter on the return pump plus egg crate between the fuge and return areas of my sump.
That being said - if your chaeto is regularly coming loose and going into your return chamber, the flow through your sump might be too fast. You should slow it down to not only keep the chaeto in place, but also to allow your water to "dwell" in the sump and maximize exposure to your chemical/mechanical/biological filtration (skimmer, reactors, macroalgae, etc.).