This is my homemade vacuum cyclone system. It consits of two empty paint buckets and some vacuum hoses.
Most of the sawdust and particles stay in the buckets and only a little portion of the fine dust goes to the vacuum bag.
Keeping the vacuum bag empty, means that you can use the same bag for months without having to buy them, and also it means that the vacuum has always full suction power.
The top bucket has the floor removed and the bottom one has a huge hole in the lid, so both of them together act like a taller bucket. In the lid of the top bucket you can see the hose that goes to the vacuum and in one side you have another hose that goes to your table saw, router or whatever machine you have.
The air and dust enters by the side hose and spins arround the bucket. Gravity forces the sawdust to fall to the bottom bucket and almost only clear air goes over the top hose.
Here you have some pictures and a video of how it works