Here is my set up for dust collection. I used for years on my S3 and now have it for my S5Pro
I use a Fein Turbo 1 with hepa filter. Yes, the Fein is much more expensive than big box shop vacs but it is very quiet (my ears are worth it). I plug the router into the vacuum, vacuum turns on when the router turns on and stays on for 10 seconds after the router turns off. Very convenient!
I have a rectangular box dust separator between the vacuum and the machine. The vacuum plugs directly into the box. There is a baffle inside and at the top of the rectangular box to prevent direct air flow from the input to the back top of the box and the output to the vacuum. Yes, I know a cyclone/cylinder would be better - but space in my garage is really tight - I made as big a separator as I could given the space under the machine.
Despite it not being a cylinder the rectangular box works really well, very few chips and little dust in the vacuum bag unless I forget to empty the dust separator when it is over 2/3 full - then the chips go to the vacuum bag and fill up the bag.
I replace the vacuum bag every 3 or so emptyings of the dust separator. The bag in the vacuum gets clogged with fine dust over time and the suction decrease, still working out the optimal how many hours of run time before replacing the vacuum bag. At 2/3 full the separator holds 3 or 4 vacuum bags of chips. But I save quite a bit on bags - something like 10x fewer bags.
I put a piece of polycarb for a window to monitor fill up.
Not bad for a bunch of scrap wood! Someday I will remake the rectangle box to fill the dead space under the vacuum so the current box becomes an L but that is really low priority.