Goodfellow posted an excellent how-to over at the ShopNGarage forum showing how to build a dust collection separator and water trap using a 5 gallon bucket and a few PVC pipes and fittings.
In his post, Goodfellow also describes how to use the separator as a fine dust trap. When collecting very fine material, such as sand or bead blasting media, filling the separator with 2″ of water will trap much of the dust, preventing excessive wear and damage to a shop vac.
Here is a link to the full how-to over at the ShopNGarage forum.
Credit goes to Goodfellow for the photos and for the great tutorial.
Update: The Shop N Garage forum is defunct, so the broken links have been removed. Sorry about that, this was out of our control.