I do, I use mine for dust collection on my saws. Without the bags there are two problems, dumping the bin when full (which makes a cloud of dust) and periodically cleaning the filter (which makes are huge mess...they trap A LOT of fine particles). To me, avoiding either problem is worth the cost of the bags. I buy them on Amazon for a cheap as I can find them. I don't worry about paying extra for bag quality/filtration. Having the bag alone is so much better than nothing. If I was using the vac for heavier material (i.e. sand) I probably wouldn't worry about it, but heavier material is usually swept. If you are vacuuming drywall dust bags are essential. Joint compound dust will clog a filter fast and it is a pain to get it clean.