I've tried using commercially available tack cloths but found they sometimes left a sticky residue on the workpiece. They were also expensive for their limited useful lifespan.

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For a simple, inexpensive alternative, I use Endust furniture polish sprayed onto a lint-free cotton rag. The Endust helps capture the dust but doesn't leave any residue on the wood. When the rag gets too dirty to shake clean, I throw it in the wash and reuse it.

Note: Do not use silicone-based spray waxes (Pledge is one brand name), which may contaminate to your finish.
—Jan Svec, WOOD® magazine staff