I figured this one out when my husband and I installed a sheet rock in our laundry/furnace room. Wear masks and take a fresh air break now and then.

After installing the sheetrock, taping and mudding. You used a damp sponge to remove most of the extra material and you let it dry.

Have a wet/dry vac with a few inches of water in the bottom. Tape the vac hose to the sanding pole. Now you can sand the mud and the vac will collect most of the powder.

I had figured out adding the water into the vac when the dust was blowing back out. The water helped "grab" most of the powder. I could then take it outside and pour it away.