I went back and forth on shop-vac vs. dust collector and finally decided on a hybrid of sorts. I built a plywood column, made a cyclone separator out of a heavy cardboard tube, and use the top section of a 6 hp shop vac. There are two chambers, one above the cyclone, one below with a drawer. The upper chamber has a HEPA filter. But, the thing is, if you use a HEPA filter on a shop vac without a cyclone separator, the HEPA filter will clog in 2 minutes flat. The separator takes out 99% of the dust and lets the HEPA filter go for quite some time between cleanings. Then pretty much nothing gets by the HEPA.
I tried to use the Dust Deputy cyclone, but it bogged down my shop vac and didn't have the airflow for good collection. So, the cyclone I built is based on a 6" diameter tube, with a spiral vane inside, 2" inlet and outlet tubes. It's not super easy to make a cyclone, but there are instructions online, and you can make it out of whatever materials you feel comfortable with.
This thing REALLY works. The suction is incredible, the drawer is easy to dump, and the HEPA filters to .5 micron. I've built a number of shop-made tools, sanders, etc. but this is the best thing I have made. My shop is dust free. I wheel it around and have a single 12' hose that I hook up to whatever tool I'm working with. And being a column, it takes up little floor space.
One thing that wasn't available when I was working on this is a new larger Dust Deputy. It's black plastic, and I think the size would work great with a big shop-vac. It's $175