Joe - I work in a small space (but not as small as Nick's!). A friend and I are making up some small dust separators that go inline before a shop vacuum. This should sort out the dust and make it easier to dispose of. I'll let you know how it goes - if it's efficient, I'll send you through the drawings (in CAD!). My friend is making them up in cheap fibreglass over a foam mold.
If you want to buy a commercial one, try this link:
Dust separator
Here's a wall mounted dust collector - if you have this type already you could use the same idea:
wall mounted dust collector
You should install a dust filter. You can get them from Rockler or Grizzly or any wood work machinery suppliers. They hang from the ceiling (saving space) and help keep the dust down.
Also - Shopnotes magazine has some good articles on controlling dust.