I setup my current shop a couple of years ago. I moved from the basement with no dust control to the garage. Again with no dust control and too cold to work in the winter. So I convinced my wife that if I bought a shed to move my shop to, I would not be tracking sawdust into the house. She bought it!!!
After spending a ton of money on the shed and wiring it, I was not in a position to spend $$$ on a cyclone. I found this website and am very thankfull for it!!! I 've started using the shop quite a bit lately and I just can't get over how nice it is to not be constantly buried in saw dust. I used several peoples ideas and then modified them to my situation.
I started with the HF setup. I bought their filter. Then I took a 35 gal. trashcan, cut a hole in the side and created a side entry Thien cyclone. I set the trashcan on the roller plate that the original HF dust collector came with, wall mounted the blower, connected the blower to the cyclone with a slip fit connector, and connected the blower exhaust to the filter with 10' of insulated duct (poor man's muffler).
I setup a box fan with a furnace filter to help contol fugitive dust.