Ours was the worst of all worlds. Down in the basement right next to
the furnace. So, the dust was given the most direct access possible to
the airhandling equipment and we have to lug that up through most of the
rest of the house.

Some brands of disposable vacuum cleaner bags (Kirby, for example) are VERY
good at stopping dust.

I would put such a bag on the outlet of the central vac (yes, it was in the
basement, next to the furnace) and let it catch the stuff than got through
the main bag.