Avoiding dust scattering when you drill
Vacuum near the point of drilling

Have someone to stand next to you with the nozzle of a (running) vacuum cleaner, and position it very carefully near the where the drill bit enters the wall. Preferably - under the drill point facing up, so as not to "compete" with gravity. Most of the dust should be caught by the vacuum cleaner. 



Down-sides to this solution:


If you're not careful, the vacuum cleaner nozzle/attachment could touch the spinning drill bit and be harmed (and these parts tend to be expensive beyond their actual production cost).
This still misses some dust (more if we're not careful and precise with the positioning and the angle).
You can't always get someone to help you with drilling.
Sometimes there isn't enough room for both people or for both the nozzle and the drill bit.