I never used a bag in a shop vac until a few years ago and my life was instantly changed. I've only changed my filter once or twice in that time, and none of the nonsense of trying to whack/wash the dust out of it to keep it alive. Suction stays super strong.

For saw dust, I would think the filter itself is not a huge concern and that the two most beneficial things would be a cyclone and a bag in the shop vac.