It will come with a cartridge filter (use it, and get a spare one) but it will work better if you buy some paper bags as well. They are about as big as pillowcases and wrap around the filter. Plaster dust clogs filters very fast.
You can get most of the dust off the cartridge with a stiff brush and banging the brush on the top. When it won't come clean you can wash it with warm water, a drop of detergent, and your brush to clean the pleats.
You will find one in the DIY sheds.
A domestic vac will be ruined. Hide it when the builders are in, and hide the hose and tools somewhere else.
I second what BeerTricksPotter said, my builder brought with him his own Henry hoover and cleaned up every day. The site was incredibly clean as he was very meticulous.
I never understand keeping something you don't like or that doesn't work well merely because it cost a lot of money <eyes friend who has kept her swags and pleats curtains because they were expensive and she hates them>