Sawdust can cause problems indoors, especially if your wood shop is located inside a residence, since fine particles can be inhaled and stay inside your lungs, causing damage over time. [1] [2] [3] [4] [5] [6]
Shop-vacs don't really do a good job at dust collection. Dust collection requires high volume, measured in CFM.
Examples of relatively small dust collectors:
The above brands manufacture several dust collectors in a range of sizes, suggesting they have more experience with this product. The below brands only appear to manufacture this one size, or a very limited number of sizes: