Ayup Pinus
The best way I have found to extract dust from a lathe is to use an impellor driven extractor (the fine filter vacuum types tend to be a bit feeble and noisy) with a piece of 4" 'Stay-Put' hose, i think Axminster sell it, positioned as close to the work as possible. If you are worried about fine dust escaping through the filter bag of your extractor, either put it outside (in a box), or put it in a box inside, which vents outside.
Everybody at the minute is raving about how great air fed visors are, but I (like a lot of other people I have spoken to) hate them. I have two words to describe them GOLDFISH BOWL.
Even the best extraction system will not extract all the dust generated by turning, (especially whilst sanding large bowls), and they do tend to get clogged up if you turn woods like sycamore that give you long strings of shavings whilst turning.
My prefered option is to forget extraction on the lathe, and buy a box of mouldex P2 dustmasks.
Hope this helps
Doughnut
P.S. Extractors dont extract the big wast that comes off a lathe, so you will still have to buy your self a brush and shovel.