I use the Festool CTM Midi hooked up to my Mirka and then have a dedicated dust extractor hooked up to ducting, blast gates etc for my bandsaw, table saw, planer, spindle moulder etc. If you're just hooking it up to an orbital then any shop vac/smaller hose should do, but one with a Hepa filter and auto start (you plug your sander into the vac which starts when you start the sander) is preferable imo. There are 2 classes, L and M. Do your research and see what works best for you.
With most things I've spent money on cheaper alternatives, not been happy and then ended up spending more to upgrade. My Mirka sander went back for a fix a whole sho and bought a cheap one from Screwfix to get me by for a few days, the difference was ridiculous! So I'd suggest getting the best you can afford wherever possible.
What i would say is regardless of what you use, dust is inevitable and you're always gonna create some.
The shavings from shaping I just sweep up and someone collects them to burn. T