I meant grow bed, not grow bag :-)

this is how I do it:

by putting a small hole into the overflow pipe as close to the bottom as possible. remember to put something (like a piece of screen) around it to keep from clogging the hole. the idea is that the pump will pump in water faster than the small hole will allow it to drain.
Others just allow the fill water to drain back down through the pump line. (I'm not a fan myself) alternately, you could have a smaller drain seperate from the over flow, but that's just more holes through your container.
As for depth, I use 2x material for my sides so they're 3.1/2" deep. If I need deep, I just put one gallon pots into the container as the sides are higher.

You can also put in a cheap kitchen sink stopper fitting. The plastic ones are about $5 for a complete unit at a hardware store. They screw together from the top and bottom, and have a rubber seal. It's a cheap and easy way to make a drain that does not leak. The bottom is also a threaded fitting that you can plumb to, or clamp on a rubber quik-connect fitting to attach the drain pipe.

In addition to the picture above (thanks Grizzman for taking the time!) there are two other simple ways of doing it:

If you want the feed pipe from above like in picture, you can add a second drain pipe coming from the bottom but should be flush with the bottom so it will drain completely. If you hook up a ball valve to the underside you can crack the valve enough to let the the water drain down. Essentially the valve replaces the little hole in the pipe and can be adjusted to change drain rate.
The second and easiest way is to make the fill pipe come in from the bottom(flush with bottom of table like first option). Once the pump turn off the water will drain backwards through the pump and back to the reservoir.
There are probably many other ways out there, all of them with pros and cons, you have find what works best for you Let us know how it works out!

Cool, thanks everyone, lots to think about there. Tell me grizzman why are you not a fan of draining back through the pump? I guess it is not designed for that? Or chance of small bits of medium going into pump?
Gonna start this weekend by digging a huge pit in bottom of glass house to line for a pond. I have a spare shovel if any of youz are free hahaha

I just seems like you're opening up the opportunity for things to syphon back into the pump. debris or any algae that may grow in the water line. I'd rather have a filter bag on the pump in the reservoir and not have to worry about things coming from the other direction. Plus with a light medium like perlite, I prefer to let the water fall on it from abve rather than coming in from below. And control issues; If you have multiple feeds from a single pump (for me at least) it's easier to control the flow to each when the pump comes from above. But probably mostly because you still have more holes in your container since you still need an overflow pipe. More holes means more opportunity for leaks. I suppose you could work out some way to have them go through a single hole, but that'd have to be worked out.
But those are just personal preferences. I know it works as a lot of people do it that way.