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I use the bucket vac from Home Depot. It’s a shop vac head that snaps on to any 5 gal bucket. The hose is a little short but otherwise is a very economical way to go and works well as a dedicated ash vac.
I use my Craftsman shop vac that I got from Lowe's on sale for $40 the next day after the ashes have cooled, but any wet/dry vac would work. A 2 gallon size would be about perfect, just be sure there are no hot ashes...
as long as your not wanting to do warm or hot ashes, an old shop vac works good. garage sales are one place to look for a cheap one you can dedicate to use just for ashes.