All depends how effective you want the dust collection to work. I use a Festool Midi vac for sanding with my RO90 & RO150 and and couldn't be happier. A sander with the bag can't compare to a proper dust extraction system. The amount of time I save on shop cleanup alone is worth the price tag for me. It all depends on your budget and needs of course but there's also this new smaller vac they offer. http://www.festoolproducts.com/power-tools/festool-dust-extractors/festool-584174-ct-sys-mobile-dust-extractor.html

I have a Dewalt similar to this one. I think the dust bag is just for decoration. But, it is probably as good as any that don't have a vacuum connection.

I have a Makita palm sander. It's durable as all get out. Similarly to what others have said, the dust bag does little if anything to collect dust.

Often a shop vac hose will fit directly onto the dust bag attachment. This depends on both tools. I think my old Mikita sander mated with a small Ridgid (Home Depot) shop vac without any adapters. It still won't pick up all the dust the way a Festool does, but it's better than nothing.
I second the Mikita sanders, I've owned two of the finishing sanders that take regular sandpaper sheets torn into quarters. Good tools for the money.

As another two cents- If you got room and money for pinball machines, you do have room and money for good tools. The Festool set up will likely be smaller than a typical sander/shop vac combo. I'm really happy with mine, but also am a full time woodworker.

Festool

I've gone through at least a dozen 1/4 sheet sanders in my life. All brands. My Bosch just kicked the bucket so my wife bought me a dewalt 1/4 sheet. Some sort of "new and improved" dust collection design and, honestly, it is the best dust sucking most of the dust in the bag sander I've ever used. (Except for the first second or two when you flick it on, it makes a cloud then) However, the dust sucking only works if you take the time to pierce the sandpaper with the included piercing thingy. Honestly, I got lazy about it with my other sanders, but I'm religious about it now. It has become my go to sander. (And I have a bunch-I do a lot of custom car/motorcycle and pin work

I literally have 2 of these Dewalt sanders. (I refinish floors) They have a nice feel to them. As for dust, meh, no better than any other. You'd be better off getting a 1 1/4" hose & adapter & use a shopvac. But the unit itself I'm happy with...

Ditch the bag and connect it to your shopvac!!!

The third option is the 1/4 sheet sanders like MrArt2u suggests. But the circular ones you are looking at might do the job a little faster. I've never used the peel and stick because whenever I've seen them at shops the pad is always torn up. Make sure not to bear down too hard on the hook and loop and make sure there is paper there or you can ruin those pads pretty fast too.