I don't do it. But I am not gonna say it is just hype. It could be an issue with some designs and how much actual "dust" was getting sucked in. Panty hose I think are sufficient for my situation. The Cleanco has a better design imo than most for that issue though. I forget how the CDS is filtered.
CDS 4.8 has a stainless basket. and also a screen over the blower intake over the tank. I wouldn't want to suck dust in w/o water myself. A bag or pantyhose may help but I don't know how much with dust.