I just use a small battery powered vacuum like the dust buster in a sense. Works really well and gets rid of all the dust and stuff that manages to get in the boat.
For a bit more power though I would definitely move up to a small wet/dry vac. Storing it and powering it would be a pain and practically impossible at anchor unless you have an inverter. What on earth do you need to vacuum up at anchor that needs a wet/dry full powered vacuum though.
My blog on boat related stuff:
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