I used my shop vac as dust collection for a while. It works, somewhat. The suction and, therefore, dust clearing ability, will always be less than that of a good dust collection system and the filter will get clogged very quickly making it even less effective.
Being a big cheapo, I ended up buying a 2hp dust collector and 1 micron canister conversion kit for both my garage shop and Cathy's dad's shop (where most pens are made). This greatly reduces dust escaping into the air. To get the little bit that might be missed, I threw together a simple air cleaner using a box fan, it's cardboard box, a couple of air filters, and duct tape.