Here's a dust collector that I designed for the Makermade M2 CNC. You can install the parts without the need to disassemble the Z-axis assembly. You will need the following 3" pipes and fittings. Pipes and fitting size is optional. Just make sure it'll accommodate the 2 counterweight (bricks)

Use glue stick

Recommended fittings

4 -3" elbows
1- 3" pvc pipes ( cut into preferred size )
1- cross tee