Here's a pick of a small 2 stage from Grizzly ($900 or so):
They make some little units that fit on a trash can for super cheap if you can't afford a separator right away. A shop air filtration unit should be installed as well at some point.
Fine dust from kiln dried or even air dried woods is highly combustible, so getting as much of it out of the air and off the floor as possible is a good thing. Also be sure to keep the vaccuum tubes clean. If a line gets plugged up, you're basically ramrodding gunpowder into a tube and hoping a spark or static doesn't ignite it.