I use the Rockler one that you linked for my JET lathe; however, I used a different locking nut underneath on the ways so I could position the mounting bracket closer to the headstock. I also extended the rod that holds it using a piece of threaded rod and a coupling nut so I could have the "business part" farther away from the headstock. Oh, since I had it apart I also painted it so that it better matched the color of my lathe - and swapped out the hose for a more flexible, clear one. It doesn't resemble the Rockler one much anymore, but it works great for me. - Dave
Here is a picture or two.
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PS For a Shop Vac based system, (like mine is), I highly recommend an Onida Dust Deputy Cyclone Separator. I used the
deluxe kit that came with the bucket and casters. I also installed a
HEPA kit on my Shop-Vac. After three or four years of use I still have a clean filter - between the Dust Deputy and The Vacuum Bag even the fine dust is being captured before it hits the filter. Still on my original collection bag too! - Dave