Running with no filters at all? That will jam up your vac's motor and your dust collection efforts would break down pretty fast ...
At the very least, you should use the normal vacuum filters that came with your vacuum to control how much dust and debris could make it into the motor.
The way vacuum motors are designed, all the air travels through the interior of the motor, straight through the fan blades. This is to help keep that motor cool and prevent it from overheating and melting down. Debris getting sucked in there would also cause problems ... additional friction, blockage of air flow, higher heat retention, and plain old damage ripping the wiring to shreds. Plus, if you're sucking up things that are potentially conductive, or even things that are damp ... that's a recipe for disaster.
Last, but not least, if you are working with things like epoxy resins, that dust can get extremely fine and it can tear up your lungs. Wear a breathing mask and/or upgrade to a micron grade HEPA filter if you're going to be working in a confined space like that.