There are a lot of different techniques. Some that I have read on this forum.
1 - Cardboard and aluminum foil to create a path for the oil, e.g. wrap a piece of folded cardboard in foil, then place it under the filter, so as you take the filter off the oil goes down the shoot into the pan. (I've also seen some plastic parts made that you could buy that achieve this effect, can't remember where)
2 - Ziplock back on the oil filterwhile you take it off (could combine this with the above if you liked.
Gotta find what works for you, I vote for 1 and 2 together.