I built a custom table with a "trough" in it for the indexer, so I've just added thin ply to the sides of the trough to box it in. You could probably do something similar to catch most of the dust.
My stock dust collector foot just doesn't work at all on the indexer. If I was cutting lots of pieces that were the same diameter, I would consider making a custom foot.
I had made a drawing of a trough like setup like scott talks about but coouldn't find the original pic, but here is what i was talking about.
The problem i found with any kind of dust foot was you couldn't create a seal around your project to get good suction.
48001.jpg
I'd probably use a trough with a floor that slopes to a low point in the middle. At the low point I'd have a dust collector intake with a gate to close it off when not using the indexer.
A picture is worth a thousand words....
48597.jpg
(but in this case, probably only 50 words)
-- Pat