Place a 20-inch square box fan face down (with the power cord facing upwards) on a work table.
Place a fine, allergy air conditioner filter over the back side of the fan. The air flow direction arrow on the side of the filter should be pointing toward the fan.
Position a general purpose AC filter over the allergy filter on the back side of the fan. Once again, the filter's air flow direction arrow should be pointing toward the fan.
Tape the two filters together around their perimeters, eliminating any gaps between the filters through which air could escape. Then tape the filters to the back side of the fan, eliminating any gaps through which air could escape.
Stand the fan next to the work area, with the filter-covered side closest to the tool creating the sawdust. Plug in the fan, and turn it on high before beginning to sand. The sawdust created should be collected by the filters, helping to keep the air in the room clean.