I think Royall is right about where to start. A face mask will give you more, safer, protection. Nothing will suck up the big chips that fly off in every direction so a good broom and dust pan make the job easier. After that, I think a dust collector or air filter would be a nice addition. I got the dust collector first. There is something comforting about seeing the stream of sanding dust go into the collector hose when you have it right up against your turning. I do know people who do this with a shop vac but they don't usually have continuous duty motors and are noisier. Some of the newer designed dust collectors are smaller, more efficient, and easier to move around. Rockler even has a wall mounted unit out but I don't know how good it is. Lastly, if you are concerned about dust in your finishes, or a coat of dust on cars or other stuff you have in your garage, one of those ceiling mounted air filters will help that. Nothing works if you don't use it. Whatever you get to protect your lungs, get in the habit of using it every time. Too often I go out to the shop thinking, "I'll just be a minute or two" and a couple hours later I'm wondering why I didn't put on my mask. I have already developed an allergic reaction to mesquite because of this. I guess what I'm trying to say is, get something, and USE it.