When you're drilling holes in your walls to mount things but don't want to make a mess, grab a roll of the widest blue painter's tape you can find and rip off a decently long piece. Stick it to the wall, vertically, right under where you're drilling, but leave the top unstuck and hanging underneath like a little tongue/shelf. 


Dust and shavings get stuck to the adhesive, and then you can just pull a little more off the wall and seal it by folding it. Then move onto the next hole until you run out of tape.