These things use a special abrasive screen/sandpaper that allows the dust being created to pass through the screen/sandpaper and into your vacuum cleaner. This also helps prevent the abrasives from clogging due to dust.
Just in case this helps anyone, I spoke to the people at the tile shop and they recommended building the wall out using cement based tile adhesive (the type you buy as powder and mix). I did this and it worked well. You have to work fast though, that stuff dries very quickly!
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You can use a Drywall Vacuum sander http://amzn.to/2uWPcdB that connects to a vacuum. The vacuum will pick up the vast majority of dust that gets created.
These things use a special abrasive screen/sandpaper that allows the dust being created to pass through the screen/sandpaper and into your vacuum cleaner. This also helps prevent the abrasives from clogging due to dust.