David's right on the money. I got lucky in that my 'shop' vac is a little old cannister with a hose that has a controllable leak built into it's handle. Using the usual plastic bucket I just set the vacuum leakage so the the bucket just barely starts to buckle and keep an eye on it as the hot oil tends to have an effect. Only difficulty I've experienced is figuring out how long is enough. Five minutes is more than enough, probably way more. You absolutely do not need the godzilla of vacuum cleaners for this little chore.
-joe