I'm not sure your ShopVac is really going to be powerful enough to pick up oily metal chips, especially if they're compacted (as they often are). I'm not seeing it snatching them out of the air, either - metal chips mostly tend to cluster around the cutter with only a minority going airborne. (Wood dust is different, and with a dust boot it can be effective if that's what you're cutting.) Vacuum isn't improved by necking down the hose; you want as large diameter a hose as can fit. And I think your concern about it overheating is valid; they aren't made to be shut up in an enclosure.
I think your efforts would be better spent in creating a better enclosure for your mill, that can accommodate flood cooling. That's the best way to push chips out of the cut and into the sump; dust collectors just won't do it. There are "chip conveyor" systems used with full-sized mills, but I've never seen one fitted to a Taig - not that the idea couldn't be miniaturized and adapted to one.