There are a number of different designs for dust shoes. It's surprising how little is needed for effective dust collection --- some of the designs are simply a folded piece of transparency film (or a cut-off from a soda bottle), a threaded part to hold it in place, a vacuum wand or extension zip-tied to the universal spindle mount and possibly a pierced retaining piece to hold the film to the end of the vacuum.
Far more elaborate is Improbable Construct's Dewalt DW660 Dust Shoe which has removable skirt pieces allowing for it to be adapted to various length end mills. One example of it in use is in the forum discussion: Cutting foam for dust Shoe.
Many are also listed on the Spindle Options page.
- Proxxon Dust Shoe for Proxxon Mount
- Dewalt DW660
- Dewalt DW660 Dust Shoe --- also available for sale on the Upgrades page.
- 3D printed - different design Quick detach dw660 mounts, hose holder and vacuum attachment
- 3D printed - same design Exact same design as Improbable Construct's original, includes SCAD model
- Minimum Footprint Dust Shoe
- My $0.99 dust shoe
- Diy easy detachable dust shoe for DW660 --- forum discussion of a project on Instructables.com which takes advantage of the cap for a tennis ball sleeve fitting nicely.
- DeWalt DW660 Dust Shoe Vacuum Attachment
- Dremel 4000
- Harbor Freight Trim 1/4" Router InkScape file for Mount and dust shoe for Harbor Freight 1/4" Trim Router which also uses the Universal Spindle Mounts
- Makita RT-070x
- Mount for a Makita RT0701 --- includes design process (.svg source).
- Shapeoko 2 Complete Dust Extractor Upgrade For Makita Compact Router --- the dust collection in this is attached separately from the spindle, so could be used w/ other tools
- Dewalt DWP-611
- Re: $5 SO3 Dust Shoe
- Media:Shapeoko3_Spindle_Mount_Dustshoe.svg --- universal design for the SO3 spindle mount which may be used for other spindle mounts and will accommodate either a DWP611 (untested --- spindle mount holes and other spacings may need to be adjusted) and a Makita RT0701. Requires 4 coupler nuts, 8 matching screws of suitable lengths (#10-24 works well and is easily and affordably sourced), 4 magnets (suggest using at least two which may be fastened in place using screws), 2 or 4 small screws and matching nuts (M3 works well), washers to use as spacers
Craft foam, transparent plastic and bristles are the typical choices.
- New dust collector skirt material: Saw Stache
- Easy-Cut Strip Brushes and Holders http://www.mcmaster.com/#7900t5/=1134kiy
- foam mouse pad: http://www.shapeoko.com/forum/viewtopic.php?f=37&t=7524&p=59732#p59732
- brushes from letter slot: https://www.youmagine.com/designs/shapeoko3-dust-shoe-with-quick-release 
Typically a dust shoe is simply connected to a vacuum, but some people opt for more elaborate systems:
- Home made dust collector
- http://timf.anansi-web.com/wp/assembling-a-dust-deputy/ 
- http://billpentz.com/woodworking/cyclone/cyclone_plan.cfm http://billpentz.com/woodworking/cyclone/build_cyclone.cfm
- Re: Dust Collection - minimal sized ShopVac..
Thingiverse: Cyclone dust collector for 5 gallon bucket --- elegant design to cut out of MDF