Eric,
I don't think you will be happy with the shop vac solution as it is too noisy, and the shop vac motors (IMO) aren't really made to run for long periods of time without a rest, so to speak.
Both Grizzly and Delta make a small dust collector that has wheels. I paid under $100 for my Delta, and bought the connectors at Grizzly to run lines to my bandsaw and the lathe. Definitely include blast gates to cut off the suction to the tool you are not using. In my opinion, two lines are about all this small dc can handle. I do use my shop vac when I use the drill press.
Also consider buying an upgrade bag to filter out the fine dust.
Hope this is of some help to you.
Cav (former Navy Dentist [8D])