Yes dipping is the way to go. I have several pieces of hardware cloth I use but I did not even bother to make a frame. If you are dipping in oil (mineral oil, linseed oil, etc) it is perfectly fine to dip whole and dry whole. If you are dipping in a finish that hardens (shellac, lacquer, poly, etc) you can dip whole but you need to separate the pieces when drying. If you don't, the hardening finishes have a tendency to make the pieces stick together.
Weather permitting I will set mine in the sun to dry for a couple hours. It speeds up the drying process.
One note of caution. I do not recommend dipping wood like Poplar in a water based finish. The water based finish tends to raise the grain and can cause the wood to swell.