sweetsncheese said:macman - no it doesn't have a filter type bag. It has a round, blue cloth that gets secured by a plastic ring and a foam sleeve (for wet pickup?). The round cloth is obviously not hepa or used for dust/fine particles. I'd love to see pics of how it works for you if you have the time - thanks!
Sounds like you have the same vacuum I have (came with the blue filter cloth, foam and plastic ring). Here is a picture inside mine with the drywall bag installed.
Mike -