I echo all that was previously said--especially use a damp sponge rather than sanding whenever possible. That works with the pre-mixed mud, I don't think it will work with the dry powder you mix yourself (that is "setting compound", and it cures by chemical reaction rather than drying like the pre-mixed stuff. Pros like it because it they can put on another coat in 20-45 minutes rather than waiting 12-24 hours)
Also, for a major project, they make a small unit that attaches to the hose before the ShopVac and catches a lot of the drywall dust using water (like a "hubbly-bubbly or "water pipe" used by those smoking the evil weed). It won't catch all the dust, but does a good job of catching enough to keep the HEPA filter in the Shop Vac from quickly clogging up. Here's a DIY version
you can build with a 5 gallon bucket and some PVC fittings.
Finally, get some extra hose for the Shop Vac and attach it to the exhaust port, route it outside the house. Anything that gets past the HEPA filter and gaskets goes outside and it also creates a slight negative pressure in the room so that air from the rest of the house flows in rather than flowing out (and carrying dust with it.)