You really have to go all out with a $1500+ dust collectors if you want to get all the fine particulate stuff that will mess up your lungs over years and years. You need a lot of airflow to actually get it into the collector, and the HEPA to keep it there. Cheap dust collectors don't move enough air to capture everything that a power tool spinning at 3 to 30 thousand RPM can fling. Shop vacs move even less air than dust collectors; a HEPA shop vac will only filter the air that goes in it, and it just won't move enough air to keep the area healthy.
Either a shopvac or cheap dust collector can limit the mess you make, and a good respirator can keep your lungs clean. But if you make dust indoors, anything fine stays there, even after you take off the respirator.
I've been wrestling with this very issue, since my current primary workshop space is my basement, and I'd like to add a good table saw. I've basically decided that I'm better off setting up wood shop in the carport, and letting the wind carry the fine dust away rather than trapping it in the house, and not spending 2 grand on a Clearvue cyclone collector.