@feruze-- I use a drywall filter bag with my vacuum and it works wonders. Vacuums are great until they get clogged with all the sander dust, rip and leak everywhere. I once spent two hours vacuuming and then while trying to unclog the vacuum, released all the dust everywhere. I was so frustrated!
I'm sure the filter you described works well too but I think drywall filter bags are cheaper and they hold a lot of sander dust.
The other thing I did last time which worked great was to use a finishing sander primer on the walls after sweeping and wiping them. The primer stuck the remaining dust particles to the wall. And when the dust from the floor got on the walls again, it made it so much easier to clean up.