I use one of the "old fashioned" dustpans (the half enclosed type) and
just fix to the wall with masking tape, but only a thin strip of it going
onto the wall. Easy peel off and move to the next hole. Just make sure
you don't drop it afterwards!!!

David

As an apprentice some 30 years ago we were shown how to make a dust
bag/envelope out of any available bit of paper and stick said bag with
insulating tape to the wall below where we were drilling. The 'trick'
was to stick the insulating tape to your 'bib and braces' a few times
to remove some of the stickiness. Still stuck the bag to the wall
well enough but came off easily. Saw somewhere recently that
somebody has patented it!! Could've been a millionaire!!!
My mate had a variation on the 'bag technique'. His adaption was to
make a hole in the piece stuck to the wall and drill through it.
Totally brilliant for the first few seconds until the bag stuck to the
drill bit, rotated at high rpm and spread the dust all over the room,
ceiling, budgie etc etc. So annoyed he whipped the drill away from the
wall, placed said drill on the floor and the heat of the drill bit
melted the carpet [a quality nylon product]...not a good day!