No system is completely dustless, as some residual dust will escape. However, any good shop vac connected to a random orbit sander set up to accept a hose nozzle will work wonders.
The best shop vac on the market, IMO, is the WAP. It's quiet, and very powerful. Mufflers can be added to noisy machines.
Cost of paper - we're talking velcro with the holes - is between $.20 and $.50 per sheet, depending on quantity purchased. Klingspor is a very good brand, as is the kind with the yellow box with the bulldog on it (can't remember the brand name).