Hi Matt, The shop vac does require a filter, which usually looks like an accordion style round tube that fits over the cage with the ball in it, otherwise the dust and sand will pop right out the exhaust hole on top of the unit.
There are different types of filters you can buy, depending on the level of dust you are planning on sucking up. There's the normal one, but there's also a denser one for picking up find particulate matter like drywall dust and other fine stuff like that. You should get the one according to the type of stuff you'll pick up. Usually I would go with the fine particulate matter filter, as those can be used in most applications. Just remember that you have to clean that filter up once in a while, as it can get plugged up with too much dust. Victor Gouveia
