Yeah you can get a container (blue plastic drum or metal) for about 25 quid. A cyclone costs not much more than a tenner. As I've found today, it does a better job of stopping almost everything getting to your vac. All you need is some nuts/bolts, some rubber or other material for a seal and maybe some adaptors if the cyclone ports don't fit your vac.
The only possibly fiddly bit is the need for a relief valve especially if you use the plastic drum. Although from the sounds of it, the linked product has it's own implosion/explosion issues!