Yes, yes, yes..... I know I'm doing it all wrong....
I use an attachment on the exhaust port on the top of the motor (which came with one of the Craftsman units, not the Rigid) which has a foam filter in it, and over that I have half a leg off an old pair of pantyhose. The amount of dust exiting the unit from the exhaust port is minimal.
I don't allow the paper filter element to get clogged up. I blow it out regularly with an electric leaf blower.
If I've been cleaning up really fine particulates - drywall dust or sanding dust - and the efficacy of the filter is diminished, I just go down and buy a new filter. Easy peasy.
Somebody asked something along the line of "do shop vacs fail?"
Previous to purchasing the Rigid model last spring, I owned four Craftsmans - the big 16-gallon models. They all saw heavy use.
One of the design flaws on them was that they used an aluminum impeller in the motor, which would fail repeatedly. (I still have a spare one in the garage because the last time it happened I just ordered two so I didn't have to wait for the part to arrive.)
The last two Craftsmans failed when the motors stopped working.
I replaced lots of "on-off" switches on them, and had to fix broken wiring, but when smoke starts boiling out of an electric motor it gets above my pay grade.
Again, one of the primary uses of mine is cleaning out rain gutters full of soaking wet or soggy moss, fir needles, pine cones, and other debris. Adding a bag would just add to the mess, and I wouldn't be able to just dump the contents of the vacuum into the yard waste stream here.
YMMV.