I had an idea of using a shop vac with a fabricated head (something that opens up to cover the area above your mill) that could be mounted or just held over your mill to collect all the dust. In case anyone is interested, Lowes has a 6 gallon shop vac on sale now for $19.97 (reg 44.97). Here is a link:
http://dealnews.com/Shop-Vac-3-HP-6-Gal ... 55032.html
I'm not sure about the exhaust, but if you keep it "hose-length" away, you should be able to collect all the dust inside the paper filter of the vac. And if not, you get a nice shop vac for real cheap. A win-win situation.