You need to first find out the molecular size (usually in terms of kDa; kilo-Daltons) before you choose your dialysis bag/tubing. The pore size of the dialysis bag should be smaller (in terms of kDa) than your desired enzyme. Then you can search online for the dialysis bag/tubing you need. I'll be using the dialysis tubing purchased from Sigma-Aldrich, just for your information.
It should be fifth part the size of the MW of the macromolecules to be retained and five times the size of the MW of the molecules intended to pass through.