Materials:
5 gallon bucket ($2.78 - http://www.homedepot.com/p/Homer-Bucket ... lnIQVDj3kw)
Leaktite bucket lid ($6.97 - http://www.homedepot.com/p/Leaktite-5-G ... lnIYFDj3kw)
1 1/4" right angle PVC elbow ($0.98 - http://www.homedepot.com/p/Mueller-Stre ... lnIkVDj3kw)
Some hot glue
The leaktite lid is important, as the system has to be airtight to maintain suction. First, snap the leaktite lid adapter onto the bucket. It takes a bit of force:
Next, drill two holes on opposite sides of the bucket lid. One to fit the PVC elbow and another to fit the part that will go to the vacuum. I used a 1 1/4" diameter extender that came with the shop vac so I didn't have to glue the vacuum's original hose to the lid. I didn't have access to hole saws, so I drilled the largest hole I could and used a box knife to cut away the rest. It doesn't have to be exact because the glue will fill gaps, but the closer the better.
Place the vacuum extension (or hose) into the hole a couple inches and hot glue in place on both sides. Make sure to get a good seal with the glue. Do the same for the PVC elbow, making sure it is turned 90 degrees off the center of the bucket.
Now place a 1 1/4" diameter extension hose into the PVC elbow (which will run to the shapeoko or CNC) and hot glue it into the elbow. Again, get a good seal. I also used some superglue around the rim of the hose before pushing it into the pipe. Plug your vacuum hose into the extension inlet and you're ready to go! So far I've vacuumed up tons of metal chips and other junk around the shop and am pleased to find that it's staying in the bucket.

Here's the extension hose I bought: http://www.amazon.com/gp/product/B002YL ... UTF8&psc=1
And the vacuum: http://www.amazon.com/gp/product/B000ST ... UTF8&psc=1
So far I like the vacuum. 3HP and it seems to be a bit quieter than most shop vacs. Plenty of suction for the dust cyclone and I recommend it at under $50. In total, the cost was about $75 for the dust cyclone system, hoses and the vacuum itself.