If you are going to be doing any work with your belt sander, especially if it is going to be a large project, it is crucial to have proper ventilation with a dust collection attachment. It is not only important for cleanliness, but for your safety and health as well.
Many high-end belt sanders actually have dust ventilation systems included as a standard feature. Not only are these better sanders for jobs of all sizes, they are easy to use and much safer to install. While these sanders may cost a little more, they are worth the investment.
If you have already purchased a sander without a dust collection system, you will find many woodworkers take existing shop vacuums and attach them to their sanders with similar results. Most sanders without ventilation systems have attachments that can be used with any shop vacuum model.
If you decide to really go high-end and outfit your shop with the most optimal setup, consider a hood ventilator in addition to a directly attached unit. These systems are installed into the ceiling of your shop and will collect unwanted dust and debris that is missed by the ventilator on the tool.