I searched Google looking for a filter/funnel made for saving your oil after frying fish. Here's what I got. It's a small company called Wonder Funnel. The funnel comes with a threaded tip that comes off. Two different size caps are included that will fit oil bottles or even a milk jug. There's a small screen you can snap into the funnel for oil that's not very dirty. A reusable screen fits over the top that you pour your oil through. It was just what I was looking for. I got the 7 inch kitchen size.

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Their website has YouTube videos on how to use them.