There are many governing factors that come into play here none more so as to what sort of machines you want to collect from - both now and in future. Commonly a dust extractor has a 100mm (4-inch) inlet whereas a shop vac will be 50mm to 63.5mm (2-inch or 2 ½-inch). A table saw could use either but if you intend down the track to get a planer / thicknesser then a dust extractor will be required as a shop vac won't have the capacity to pull the chips away.
If you are working a lot with MDF then the dust is very fine and will clog a shop vac filter very quickly but you could add a "Dust Deputy" cyclone bucket which will catch 90% or more of the dust before getting to the shop vac. This would be my recommendation if you are trying to get away on a budget. - Wayne
I have been doing a lot of work with mdf and as a result the very fine dust has destroyed another shop vac. I have just purchased the Ryobi 30L shop vac from Bunnings to replace the old one and I have found it to not only be nice and powerful but also has a couple of features to help with stopping the fine dust from clogging the filter. Firstly it has a vac bag to collect the debris and secondly there is a second material bag to enclose the filter. And as an added bonus a 4 year replacement warranty. - kel
I used to use just a normal vacuum cleaner. I've ordered a cyclone dust extractor that eliminates 90% of sawdust and shavings into a drum instead of the vacuum. Should save me heaps on filters. - vickiec
If your unit has no dust extraction built in, you can use PVC to add to it. You will need to make something to cover the lower half where the disc is to create a suction. - Razzer
I would be looking at building a DIY extraction setup from plywood. I remember in my wood tech class at high school most of the extraction cowlings were made from timber. Alternatively, you could use steel or aluminium sheet. These sheets would be reasonably easy to bend and pop-rivet together your sections.
You could certainly use the PVC pipe for ducting, but I am unsure how you'd use it to capture the dust. - MitchellMc