I have used a cardboard box, just cut out the bottom to allow it to clear the vice and any hold downs and make sure that the height won't interfere with the operation and go to town. A shop vac makes for easy cleanup before removal. When I am done, I just through the box away.
I have tried to rig up more permanent setups but too often they work fine for a few setups and not for the majority of them. But at the time, I was doing a lot of repair job work and some one off fabrications which made it difficult to use them. I eventually just would take a piece of cardboard and tap it so it didn't through the chips at me and call it good.