I don't use a grinder setup like you, but I grind alot of metal by hand in a jewelry mfg setup. I have a Donaldson/Torit cabinet dust collector and it works great but is not inexpensive. They are available used. I also built an inexpensive one from a Grizzly bag dust collector, but I replaced the bag with a cartridge filter to catch smaller particles than the bags will capture.
Here is a website I used to help me to understand more about capturing and filtering dust and modifying a bag filter. Dust Collection Research - Dust Collector Cartridge Conversion