All of the posts on this subject have been very inspiring. Let me add one improvement. I recreated the equivalent of this project using only the filter, the Walmart bag set and a few dollars in extra home supply parts. In doing so, I eliminated the need to make any modifications to the filter cartridge, so if you take this approach, you don't have to grind off any threads since this method uses the Katadyne filter without modification.
I discovered that pieces from a common schedule 40 2" PVC pipe and slip end cap, sliced into a ring set, are ideally sized to replace the Nalgene water bottle parts. In practice, you push the end cap onto the pipe and then slice the common area to make a ring set. I made a set approximately 1/4 inch in thickness. You then place the inner ring on a flat surface, turn the bag inside out and position it over the inner ring, and then squeeze down the outer ring to clamp the bag in between the two rings. You then carefully cut the nylon bag out to make room for the filter and press fit the filter into the inner ring opening. Walla, you're done!
Some other hints on this method. While the outer ring slips over the inner ring very snugly by itself, it will be really snug with the nylon bag material and the filter inserted. So I first rough sanded the inside and outside diameter of the pipe to help this fit a little. If you can, plan on never taking the rings apart after you cut the bag material. It becomes difficult to line up the material the same way once they are separated. Also I used a miter saw to make rings with uniform, clean edges, although I don't see why it wouldn't work if you hand sawed the rings. To keep it safe, make sure you are cutting through both the end cap and the pipe on each cut and have enough length of end pipe to steady the assembly while cutting.
Once the bag is clamped, its a snug fit to insert the filter, which is actually a good thing. If you remove the O ring, you should be able to insert the filter all the way up to the threads and make a very tight seal that won't easily come loose. Finally, I loosely placed the filter in the hole, and then rested the assembly in the open jaws of a bench vise so that I could 'knock' the filter down using a wooden block and some gentle taps.
The whole assembly weighs 7 oz dry (9 oz damp) and filters 2 liters in 7 minutes. Here are some photos of the finished assembly. Note I slipped the O ring back on after assembly just for the sake of storing it on the filter in case I ever need the original back.