Mostly, I use throw away sample pot paint brushes got em free from local paint shop. But always clean up before leaving the playpen for the day with my $50 el-cheapo vac. Sadly, after 5 years or so I can smell hot wire insulation each time I use it now, just waiting for the blue magic smoke to appear.
Incidentally, I made a small cyclonic separator in line and it works fine. Bag in vac gets very little stuff unless I have turned plastic. That seems to float in the air stream rather well - light mass, high surface area I guess.