Don,
With regard to ducting outdoors in a heated shop, just be aware that if you run your DC for any significant period of time you will require an extraordinary reserve in your heating or cooling capacity when using the DC.
Depending on hose diameter, length, and DC size, you will be ducting anywhere from a few hundred cubic feet of air per minute, to well over 1000 cubic feet of air each minute. Assuming a 500 sq.ft. shop with 10ft ceilings, your A/C or heater will need enough reserve capacity to fully heat/cool your shop from whatever the outdoor temperature is to your desired thermostat setting EVERY 5 MINUTES! I'm not even sure a 4-ton A/C could handle that load (30F temperature gradient, 5000 cubic ft. air, every 5 minutes)! I know my 1-ton A/C takes a several hours to makeup that sort of differential in an insulated shop.
Same goes for heating... Essentially shop insulation becomes 100% optional. If you go this route the only practical (and affordable) heating option will likely be infrared. It will be like heating or cooling a 2-car garage with an 18-ft garage door wide open with all the windows open.
From a health perspective, and from the perspective of getting rid of harmful dust, nothing beats sending it outdoors (so long as neighbors, family, and pets are protected from the exhaust cloud -- preferably by several hundred feet). However, when it comes to heating or cooling a shop, nothing works worse than sending all your conditioned air outdoors!
Whatever path you choose, I wish you much success. It is great that you have chosen to invest in dust collection, your health will no doubt benefit from it and you will have a much cleaner shop to boot. I invested in dust collection from the get-go, so I can not even imagine what my shop would look like with hundreds of gallons of sawdust covering everthing! Since my shop is a connected garage, I also can not imagine what the inside of our house wood look like with that level of dust in our garage either!