I have the Grizzly 2 hp dust collector with a single felt bag on top and clear plastic waste bag on the bottom. Mine might have come with a 5 micron bag (IIRC), but now the web site says it comes with a 2.5 micron bag, which is even better. This is fine for a small shop, especially if you use gates to stop flow to the machines you're not currently using. It's relatively affordable at $395 (don't know what shipping to Finland would be like, though). I have a friend who has a similar 1 hp dust collector (different brand) that he rolls from machine to machine as needed. That works ok, mainly because it avoids the pressure drop from long pipe runs. Getting any kind of real dust collector is going to be a vast improvement over using a shop vac for dust collection.
As far as bags go (assuming you get a bag collector instead of a cyclone), the smaller the micron size the better. This is better BOTH because more fine dust is filtered out AND for better air flow through the bag. Bags with smaller holes have more holes, resulting in more overall open area for air to flow through. The downside is that smaller micron bags are more expensive, but they generally last for many years in home-shop duty, so it doesn't work out to being expensive over time.