A few months ago I put together a dedicated setup for sanding. I bought a 12 gallon shop vac along with a 1 micron filter and a filter bag. There is a hepa filter available as well, and at some point I may switch to that one as well. I did not put in a separator. The vac itself is hidden under one of the TS wings, and it is on an automatic switch that the sander plugs into. This spring, after a few projects have been sanded I am going to take a look at the filter. Depending on how clean or dirty may help make a decision on whether I add a separator. However I think the filter bag as it stands is catching the vast majority of the dust.
For now, this setup seems to work very well. There is NO sawdust left behind from sanding. I also have not noticed the vac blowing out any dust as I am sanding.
A little further background. The above is actually shopvac #2 for me. ShopVac #1 is a 16 gallon that got used for everything. I did have a filter bag in that for awhile, with a well used filter that had been cleaned out a few times. The bag seemed like it did a very good job keeping the filter clean. I moved to having a dedicated setup as the shop vac got used for everything, including sweeping out cars, and other stuff around the house, so the bag filled up very quickly. I could also see general usage clogging up a 1 micron filter very quickly as well. So the larger shop vac is now just using a standard filter, no bag, and is used for general use, while the smaller one is completely dedicated and setup to deal with the fine dust from sanding.