After getting my Shapeoko 3, I learned the hard (messy) way what a dust shoe was and why you needed it. Looking around, I didn't find anything I like, not to mention NOT cover up the drill bit. Half the fun was watching this thing for hours and hours cutting millimeters of wood at a time. While this may not be as "efficient" at dust collecting as something with a brush that keeps the dust from flying everywhere, its "good enough", and I can still see whats going on. Besides, I have this nifty enclosure that keeps the dust under control for post-cut vacuuming.
Anyway, looking at some nice dust shoes for various CNC machines, I rolled this one. Even has a 60mm LED ring adaptor on the bottom to light up whats being cut (and sucked up the hole).
There are 5 pieces. The top 3 "plates" are screwed together with a long #6 screw (I had a bunch from Home Depot). The bottom cap is glued to the bottom plate. I did this as it was exponentially easier to print than having it as a single piece. The bottom LED ring can be screwed together with any short small self-tapping wood screw. I forgot which I use, but I had a bunch laying around.
The LED ring itself is just zippy tied to the adaptor (see pic).
I print everything in ABS for strength. PLA may work too.