You can build a homemade soot trap like what oil burner service reps use. Please refer to the drawing. You start with a widely availabe bucket with an airtight lid (Home Depot sells one in their trademark orange color for example). Along with the bucket, you will need about 30 inches of PVC pipe - ideally you will get the diameter that matches your vacuum cleaner hose attachment. "Schedule 40" PVC pipe will work fine. This refers to the less expensive thickness of pipe- any home improvement store rep can help you with this, and if you bring in your hose and explain what you need to do they will gladly help you out! Finally, you will need a tube of silicone RTV sealant. Cut two holes matching the size of your PVC pipe into the lid of your bucket, and cut the pipe into two sections- one that will sit three to four inches from the bottom of the bucket, and one that will sit one or two inches below the lid. Put them into position and use the RTV sealant to hold them in place and also provide an air-tight seal. On the lid, label the side that has the long pipe INLET and the side with the short pipe TO VACUUM. This is CRITICAL so make sure you do it! Labels, paint, marker, crayon- whatever. Label them NOW!
Finally, you need a section of flexible plastic hose to connect your trap to your vacuum. Six to eight feet should work fine. You will have to be creative to make sure the connection between your new trap and vacuum are air-tight, but IMHO this adds a little adventure to the project... you want something easy to attach and remove, and by no means do you want to do anything that prevents you from taking your new trap off and using your vacuum normally. Hardware stores are bursting with all sorts of adapters and stuff! The same goes for the inlet side of your trap, but hopefully you matched the pipe up to your pickup hose to where it makes a nice tight fit and works without adapters.
After the RTV cures (about 24 hours) and you are satisfied that everything is in order, you are ready to use your soot/dust/fur trap! Fill the bucket about 1/3rd of the way up with water. Make sure that the long end of pipe is under water by about 2 inches. It is VERY IMPORTANT that the end that goes underwater (The INLET) is hooked to your pick-up attachment.... You should have labeled it INLET already.
The whole idea is that whatever your vacuum sucks up gets pulled underwater first, trapping it before it gets near the vacuum cleaner. It has worked for decades for oil burner service techs to keep furnace soot out of their vacuums, which would be destroyed after one or two uses otherwise.This will easily trap dog hair and talcum powder. Be forewarned that inside the bucket it will get very messy and it is vital that you clean it after every use.