Many CNC machines will offer a dust boot or adapter that surrounds the spindle with a brush or rubber gasket material that rubs along the workpiece. A vacuum is connected to this adapter and dust is extracted right at the end mill. STEPCRAFT, for example, offers an exhaust adapter with a removable brush.
To get the most out of your dust collection system you need to make sure that the brush is contacting the work surface. If not then only a percentage of the dust will be drawn into the dust collection system. Depending on the system you might need to use shorter bits to achieve this.
To extract the dust you can use a simple shop vac or an integrated dust collection system.