I got rid of both bags and put my hose where it catches the dust and just lets the chips fall. The dust goes out the wall and I open the door and vacuum up the chips. My tapering machines are enclosed in plexiglass. I have dust collection pipes set up right behind the headstock on a couple of my lathes to catch chips and dust when doing phenolic ferrules and such.
If you want to catch chips, get one of those cyclone garbage can tops and pipe it through that before it goes out the wall. The bags are almost useless and very unsafe to me.
At home depot you can get plastic storage bins 5x6 or so, pretty big to put a compressor,vac and a big bag and filter,exhaust fan. I do hvac look at the hard piping duct, and duct seal.