So, first time commenter here at the T.M. Hunt sub.....I have on my tiny little grinding setup a sheet metal vacuum attachment that sits under the wheel of the belt part of my grinder, and the disc part has its own vacuum attachment. I've got a cleanstream filter (think Gore-Tex like) in a Shop-Vac that catches most of what's coming off the grinder. It would probably work even better if I took a little more time and fitted/remade it for better coverage/dust catching. Still works pretty well though. It's just some sheet metal aluminum flashing I cobbled together with some rivets.
Obviously needs to enclose the bottom wheel more and fit tighter so that it has more complete dust pickup. The one I made for my drill press, OTOH, seriously kicks ass. Sucks down
everything.
Definitely want to dedicate your shop-vac to metal pickup if that's what you're spending the majority of your time doing, tho. Don't want to be sucking hot sparks into a big pile of sawdust....