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.