Chiro75 said:
1) What's the best setup for a bench grinder? I assume I'd want to put the hose right under the grinding wheel. Best way to attach it, and should I use something to widen the hose's effective opening? Someone mentioned a bleach bottle... best way to attach the hose to whatever I use to widen it?
See the Shop Vac metal dust catching funnel from Jeff Higgins here:
http://www.bladeforums.com/forums/showthread.php?t=291563
Note that he only turns the vacuum on after he's done grinding. The funnel is just to corral the dust as he's working.
(edited to add) To attach a bleach bottle, you could use duct tape, hose clamps, pop rivets with washers, machine screws, or some combo of the above, depending on what materials and thicknesses you were trying to join.
2) How much "oomph" should my system have? It seems to pull a decent amount of air into it, but nothing shocking. Less than a regular vacuum cleaner, for sure. Does this mean I need to change a filter or empty a bag or something, or are these things just not that high-powered?
FWIW, dust collectors and Shop-Vac's operate on a couple of different principles. The dust collector moves a lot of air rather slowly through a fat hose to transport relatively light fluffy particles. A Shop-Vac moves air relatively fast through a smaller hose to transport potentially heavier/denser particles or even liquids.
If you want to suck up hot sparks, put a water-entrapment filter between the grinder and the vacuum source. That filter runs the pipe/hose bearing the hot particles into a container partially filled with water. The pipe outlet is under the water level and the vacuum outlet is at the top of the container. As the vacuum sucks air through the pipe, bubbling it up through the water, the hot metal particles will remain in the water. Note that this places a strain on the vacuum source and means that your vacuum has to be stronger than if the water filter wasn't in the system. It's simpler to do as Higgy does and not suck up the metal dust until you're done grinding.
When you say your dust collector (DC) has two bags, I assume you mean an upper bag held in place directly over the lower bag by an expandable metal band that has a cinch-toggle on it to clamp it in place. In any case, on DC's the upper bag is the filter bag that the air passes through and the particles of dust get stopped by. The lower bag is the collector bag that the dust particles fall down into either by the vortex action of the collector or when the DC is turned off. You only toss out the lower bag, when it gets full, and the upper bag remains in place.
Re: lack of vacuum power from your DC. Your upper filter bag could be dirty enough to impede airflow through it. If so there are a few things you can do to remedy the situation:
1. with the DC turned off, simply shake/strike the upper bag to knock off accumulated dust particles that may have impacted themselves into the fabric of the bag.
2. take the upper bag off, turn it inside-out, and spray it clean with a garden hose or pressure washer. If that doesn't get it clean enough, I suppose you could throw it in the washing machine. If you're married, don't tell your wife.

3. replace the bag (can be expensive). There are plenty of replacement bag vendors on the web, with bags down to 1-micron mesh to stop even very fine particles. However with "weekend warrior" levels of use, the upper bag may well never need replacing.
BTW, what HP is the motor on your Jet or what model is it? Most home shop DC's run in the 1 HP to about 3 HP range.
Any other hints (other than a spark reducer if using for steel and also not to use PVC for anything.?
Good thought not to use plastic for your DC hose. Or, if you do, be sure to ground it thoroughly to avoid dust explosions.