I use one of those add-on bins that are advertised for fireplace cleaning. That collects all the large rubbish and a decent portion of the finer stuff, one bag lasts ages then and you just empty the add-on bin.
You can get re-useable henry bags with made of canvas with a zip on so you can empty them too. Check amazon/ebay.
I use my henry attached to the sander whenever I'm decorating, it massively reduces the amount of dust I produce. You still need a dust mask/respirator and some eye protection as well though.
Dave