Well, a hard-drive magnet covered in steel filings, of course!
I got tired of cleaning up the filings left behind after a few days of indoor Dremel action and realized that a powerful magnet held an inch or two from the cutting (or grinding) wheel should do the trick nicely. It catches everything in its path, cutting my cleanup work in half, and the rest is taken care of by a quick pass with this same magnet (after I scrape off the shavings) and a quick squirt of canned air. Now I've just got to mount it a bit more securely, and it'll live in my as-of-yet-nonexistent toolbox permanently.
And yes, it'd be nice if I pulled off the other debris (check out that nut) that's accumulated on it, but I don't care that much.