Industrial cyclone dust collectors have a blower connected to the top of a very steep conical chamber. This is the outlet. The inlet is located tangential to the circumference of the cone a short ways down from the outlet . As air enters the chamber it spins around and out the outlet. Dust particles have a higher inertia than gas particles. Therefor, they do not change direction as fast as the air flow. They hit the sides of the chamber (where the air speed is much lower) and fall down to the bottom of the chamber.
Cyclones are quite energy efficient when used in industrial settings, especially compared to other dust collector types (bag houses, wet type collectors, etc.) and when they are properly set up.
Rcktsled is right to warn about dust collection. All dust is explosive in the right concentration. Even flour and sugar facilities have been known to explode. Another warning, if you collect metal dust, do not allow it to get wet in an enclosed container. The metal oxidizes, stripping the oxygen from the water and releasing the hydrogen to the atmosphere. If you inadvertently contain the hydrogren gas, you are creating a significant hazard.
Now that the warnings are over, I say go for it. A properly set up dust collection system makes for a much cleaner shop and easier cleanup.