Now there are several drill dust collectors available in commerce, ranging from plastic bubbles all the way up to tiny vacuum cleaners. But with just a piece of paper and some scotch tape, you can make one yourself in less than 30 seconds.
Use whatever tape you want, but make sure that it's easy to remove without damaging your paint or wall paper when done.
Take another piece of tape that's almost the length of the paper and attach it to the top edge of your paper. This will be used to attach your bag to the wall.