Ed uses the same system I am currently using.
If you haven't seen the videos by Slavik Tely, you need to check them out ( thanks to Rick for putting me on that one.)
When I had my shop in the lean to, I didn't do anything but blow the dust out with my air compressor when it got real messy. Now that I have an enclosed small shop, I'm trying to be Mr. Tidy Shop .
When I run the grinder, I either have my vacuum or filter station running (depending what I'm grinding.) I have started cleaning up and vacuuming after one task and before I start the next (well most of the time). I try to have the vacuum running or at least stop and vacuum up sanding dust and drilling chips as I'm working.
It takes discipline but I'm trying. Sorry for the long note
Ditto to what John says! Personally I have a 5 gal bucket of soapy water hanging directly under each of my grinders. I also have a dust trap/shop vac connection to one......but that ONLY gets turned on with handle materials or non-sparking materials. I've seen several building burnt down over the years because folks were using a shop vac at the grinder..... and not thinking about what it would do!
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I bought one of those small 1hp wall units a couple months ago to just work with my grinder and horizontal grinder . I got it mounted to the wall, but i don't want to use a bag, i want to run a direct line outside through a dryer vent...just gotta find time to cut the whole in the brick and find some tubing to fit the outlet side.
Edited to add: I will only use the dust collector for handle material grinding; i also use a water bucket for steel grinding