I don't want to spend tons of money for an expensive unit. What are my other option? I'm thinking about a wet/dry vac???

Be careful, Graphie dust is nothing you should breath too much of.
I have been using a shopvac with a replaceable filter bag. The bags are used for fine dust vacuuming, like drywall sanding dust. They are available at Home Depot or Lowes for most makes of shop vacs right in the shop vac section. They are usually 3 to a package and only a few bucks. Just be careful when removing it from the vac itself. If you squeeze the bag it will send a black cloud into the air. I place duct tape over the opening then pull the bag from the vac. and of course, buy the smallest micron (lowest number) bag for best results.

break down and buy a torrit at an auction. I have been dealing with the wood dust collector for about 2 years and I want to thow it out. Get a torrit and save some money and lungs in the long run.

If you intend to cut graphite on a regular basis, spend the money to buy a used torrit dust collector. I made the mistake of thinking that I could use a shop vac, then I tried grinding some copper impregnated graphite. I suffered from swollen eyes and sneezing and itching for about a week, then went to the first auction I saw that had a dust collector and bought one. best purchase I ever made.

Jim

Yea you really need a dust collector made for graphite if you plan on cutting alot. I wouldn't mess with the shop vacs. I have done it in a pinch and always regretted it. There's another option if you are only going to do this once or twice. You can use the coolant on your mill it will keep the dust down, but plan on replacing the coolant when your done and giving you system a good wash down.