The words "metal dust collection", "small" and "cost effective" simply don't go together!
For a collection system for steel/metal dust, you're going to need a large/heavy duty until, with spark arrest features. They are not small, and they are not cheap!
That being said, one of the cheapest/most effective methods is to hang a 5 gallon bucket of soapy water below your grinder(s). Used in conjunction with a stand alone air filtration, you can get effective, efficient dust collection. NOTHING you can build, buy, and/or install will collect everything that flies around the a knife shop, and you still need to wear a QUALITY RESPIRATOR.