In a shop with excellent ventilation, or an ability to open a garage door, dust collection isn't quite as critical as long as you wear a respirator and don't mind looking like a dirty snowman after you work. In smaller shops or those with limited ventilation, it is absolutely critical, for your health, the health of every piece of equipment and tool in your shop, and general cleanliness.
Some examples of what dust can ruin: Machine equipment, ball bearing slides on toolboxes, calipers and precision tools, motors, lighting, switches, outlets, your life, can contaminate your fine grit sanding papers, it goes on and on. Plus, if you have a small shop with poor ventilation, you can potentially set yourself up for a DEADLY explosion... you literally could be crippled for life, or worse. Is that super likely? No, but it's very possible, and has happened many times in the past.
I don't have room for a cyclone at the moment, or at least I haven't figured out how to fit one in yet, so I've gone with a spark catcher straight to the dust collector until then.
The spark catcher was built from scrap/found items, $0 invested. I did luck out and have a couple things that worked surprisingly well, but you should be able to scrap something together.
The lid, which can be seen in the first and third photos, was a piece cut from the cover on a broken fluorescent fixture. I even reused the little quarter turn fastener to hold it on. The body was a galvanized steel bin I got a dozen or so of when raiding a dumpster (with permission) after a commercial telecom job. The baffle was also some scrap steel sheet I had, and the adapter flange was a spare hose coupler I had, attached with some l-brackets, and sealed with a gasket made from some foam I'd saved.
Between the baffle, and the lip that aims down at the front of the lid, the air makes somewhat of a zig-zag as it crosses over into the outlet. All the heavy stuff and sparks drop straight down into a bit of water, and the fine stuff goes over the top and out.
Depending on how heavy/dirty my grinding is, I made a cheesy little extension piece out of a scrap piece of duct. I'm going to make something a lot cooler, but this is plenty effective for now.
edit: Another thing, I consider it VERY important to have it wired so that the dust collector turns on at the same time as the grinder. If not, you'll constantly be tempted to just "do it real quick" and not turn the dust collector on, and this will eventually translate to overall poor habits. Plus it's a lot easier in general.
