You want a woodworkers dust collector - something like...

http://www.machinemart.co.uk/shop/pr...t-extractors-2
or
http://www.axminster.co.uk/axminster...em-prod370402/

I got a cheap B&Q one (£120 IIRC) and it's been fine for my occasional use. They shift more air than a regular vacuum cleaner but at a lower pressure and they're much quieter. They're available with different quality filters - if you're worried about the MDF dust you can go down to 1 micron. The collection bag is much bigger than an ordinary vacuum.