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terlg-
Both sanders (cheap Macallister detail sander; cheap Erbauer random orbital) came with removable dust bags and attachments for a vacuum or proper dust extractor.
The Erbauer one was great, the Macallister has an annoying quarter-turn attachment which the hoover kept pulling open so I had to fasten it with duct tape.
tbc
I got this:
https://www.toolstation.com/nilfisk-buddy-ii-12l-wet-dry-vacuum-cleaner/p65733
It's been great for using a detail sander/random orbital sander on the stairs.