When I made the little ball for baby Alfie, I wanted to be sure the stuffing wouldn't escape, so I enclosed it in the end of a nylon stocking. The result is great. It was easy because it is just a round ball shape, so no need to deal with fiddly small limbs.
I'm in the middle of two projects at the moment, and I've decided to line them too. One of them is almost finished so I should be posting it in the next day or two. Lining it not only helps for washing, it also means that when you're finishing off, your hook doesn't get mixed up with the fibrefill. So good news all round. Yes, you do have to make the lining and sew it up too, but it really is worth it.
Any experience with lining or not, and are there any disadvantages with lining that I've not thought about?