Dealing with dust protection is a complex issue. Unlike the sorts of violent immediate injuries that come from a lathe ejecting something hard and fast like a bit of wood or lathe jaw, dust is a 'soft' problem where the hazard isn't instant, but may develop with increased exposure.
(There's a remote possibility of having an extreme immediate allergic reaction to wood dust, but I've yet to read of anyone needing a trip to A&E from that yet.)
Recently there's been a trend online to recommend 'industry best practice' for respiratory protection, which is great in theory, but there's a risk of making it seem all too expensive, difficult and ultimately not relevant to hobbyists.
As said previously, the main risk to health comes from sanding dust, rather than shavings. A face mask is a great first step to reduce your exposure, a powered respirator is even better.
However it's better to trap as much dust as possible before it gets into the workshop air in the first place. A domestic vacuum cleaner might not be 'industry best practice' but can make a substantial difference to the amount of dust in the air for a modest cost. Some will get finer dust than others, but anything is better than nothing. They are also very compact compared to industrial units.
I use a cheap Lidl wet and dry unit in the workshop and it does a good job, it's long hose allows you position the cleaner head in the optimal position.
Some sort of moveable arm to hold the hose head exactly where the dust is coming off is the perfect answer. It could be home made or you could use a commercial product. I use a Manfrotto magic arm and it does the job wonderfully.
What isn't really clear is how great the dust exposure risk is to occasional amateur turners. Most literature I've seen referenced to refers to workplace exposure, often dating back many years when exposure levels would have been much greater than today. I don't know how much that sort of regular high level dust exposure would compare to the risks of occasional DIY exposure.
It would be great if the AWGB started to collate information from member clubs to see if amateur woodturners really do suffer long term respiratory issues from their hobby.