I built a 5-gallon bucket to catch the dust. I have one hose going
down into the water and the other comes out the top. I placed a piece
of Plexiglas inside the bucket is such a way that the water has to go
around to get out. I remove the filter from my shop vac. I run the
hose from the 5 gal bucket vertical as far as possible and I still get
water carryover. So I'm going to add a second knock out. This set up
works so well it's unbelievable!

It's the fine dust particles that you need to vacuum up. The larger
pieces are not a threat, it the very fine reparable dust that you
should be worried about.

Also, the masking tape trick to remove fiberglass from your skin, I
use duct tape or masking tape. Works really great!