When using a wet dry vacuum for picking up dry materials, you should use a shop vacuum filter to avoid damaging the motor and dispersing fine particles into the air. Depending on the style of shop vacuum being used, a filter is usually only utilized during dry vacuuming. These filters are made of a paper-based material that prevents expelling fine particles into the air from materials such as drywall, and soot. With many styles of wet vacuums, the filter is removed when wet vacuuming. However, some models come with a specialized filter that can be used for either task. These filters are washable and very durable.
For more info, see A Car Vacuum Buying Guide