I do a lot of wood turning and typically sweep up the BIG stuff followed by vacuuming. This keeps me from overloading the filter in the shop vac with large chips.
I decided to add a cyclone separator to my system.
This build turned out easy to do and pretty inexpensive using a:
Info on the build here: Shop Vac + Cyclone Station
Mine was $12…
I have been thinking about this one. It has good reviews and looks like HD helps out when people are having problems.
I built one of these several years ago using nothing more than 2 buckets, a 2 and a 5 gallon one. You attach the bottom of the 2 gallon bucket to the inside center of the lid of the 5-gallon one, drill a hole through the lid and the bottom of the 2-gallon bucket for your vacuum to attach to(I used PVC for the connection), and then one hole in the side of the 5 gallon bucket about 2 inches from the top of the bucket, that hole will be for attaching to your CNC or whatever. When I tested it, I used about a pound of sawdust and got less than a teaspoon of it in the vacuum cleaner’s chamber.
I have one that I built like you suggested and it works fine.
I needed another and this one took almost no effort to build and only cost $12.00 
I have a Dyson canister I want to adapt to a 5 Gal bucket. Cut the bottom out of the canister and have the saw dust fall into the bucket.
Yeah, they’re pretty easy to build. I’m building another out of an old 1950s canister vacuum I found on the side of the road that had its motor burnt out. The wheels make it a lot easier to move around.
I got a cheap chinese cyclone for xmas and 3d modelled / printed various adapters for mate with my shop vac hoses. It does a good job but know I need to make it more mobile.
Moving it around is like poking at cold noodles using another piece of noodle. and the cylone doest work well if the bucket has fallen over.
