No sanders have good dust extraction by default, you need a vacuum of some kind to pull the dust out. This also means that the sandpaper is effective for much longer as well. If you're doing a lot of sanding it's best to spend a bit more on a sander than you might think -
vibration is a huge factor over a period of time, the mouse type sanders are really bad for this unfortunately as
@Profpointy notes.
Realistically for a lot of surface area you need a random orbital sander - they tend to be a bit more aggressive than the 1/4 sheet sanders and will cut down the amount of time you spend. Given you already have the Bosch 18v batteries, you could look at the Bosch GEX185 which you can get for around £100 without the battery - ITS have them around that price. An alternative might be the M9204 Makita - it's corded so a little cheaper than the battery powered ones about £50. They're all the 125mm ones so sandpaper is cheap to come by.
The downside of a random orbital is they are a round pad, so for detail work you'll be back to sandpaper and a block.
For dust extraction you can use a regular hoover, but it'll get clogged up really quickly and can be a complete pain to clean after, a better option would be something designed for the job, but at that point unless you have other jobs that would be likely to use it then you're talking about cost escalation, but screwfix do a range of wet and dry vacs which would do the job. The upside is that if you do use proper dust extraction you won't need to worry about dust getting everywhere although using a mask is still a good idea.