CNC machines generate lots of fine dust that is very messy and VERY UNHEALTHY. Take a look at the links below for education and building your own.
Most shop bag dust collectors are "dust pumps" they catch the big stuff but still pump out the fine particles which are the ones that are extremely bad for your health.
For a long time I have been concerned about the dust from woodworking not just health but blown through the house. And I think I have found the answer, I have spent I'm guessing 12 + hours on the internet studying this and the real answer to shop dust collection is a "Cyclone shop system" The BEST I have found is by Bill P. he doesn’t sell any only presents the free design on the internet.
Bills design: Lots of stuff to read and understand.
http://billpentz.com/woodworking/cyclone/index.cfm
Here's a builder of one of his in Japan, lots of good pictures and construction details: There are 4 sections to his cyclone on his web site.
http://www.ablett.jp/workshop/
This is a pretty good ready made one:
http://www.woodsucker.com/
It can be built for less than this especially with the skills I see here on the CNCZONE.
Hager