If you don't yet have a sawdust collection system set up in your workshop, an intermediate step is to use plastic trash bags under a tablesaw. Clip the bag below the tablesaw with snap clothespins. The sawdust that does not fall in can be scooped up and tossed into the bag. Also check out the options now available for using your wet/dry vac to collect sawdust from individual tools.
To sand coves, wrap sandpaper around small lengths of clear flexible plastic tubing. Most hardware stores carry this type of tubing. Choose a diameter smaller than the radius of the cove. Slice the tube down its length and slip one edge of the sandpaper into the slit. Then wrap the sandpaper around the tube and hold it tightly.