For Raphael and other contemplating duct collection here is a very good web site. I found lots of good information (seems so anyway)
http://billpentz.com/woodworking/cyclone/Index.cfm
A word of caution about using shop vacs...while they work well for a single tool, I found that the particle size they allow through their filters are the ones you need to stop. Look at some of the after market filters, much finer microns and cleanable.

Bob