A box fan with a couple of furnace filters will clean the air, not perfect but better than nothing. I have two filters on the intake side and another on the exhaust. Blow out the motor with compressed air every so often, or you fan will eventually die on you.
On the shop vac, add a 5 gallon bucket separator in between the collection point and the shop vac. Your filter in the shop vac will plug up with the fine dust, if it uses disposable bags, buy a bunch, you will go through them. If the cloth bag that has to be cleaned, clean it often or you lose efficiency.