If power is going to the switch first, you'll place the hot conductor on one screw of the switch, with the conductor on the other screw going to the hot (generally copper colored) screw of the GFCI on the line side. The neutrals in the switch box will be wire nutted together, with the neutral conductor leading to the receptacle box going to the silver screw on the line side. Grounding is still done as common.
If power is going to the receptacle box first, you'll have to run a switch-leg. In this case, the neutral entering the receptacle box will be placed on the silver screw on the line side, but the hot will be wire nutted to a new piece of Romex. Personally, I nut the black (hot) conductor to the white that heads up to the switch (of course, you tape the white conductor over with black electrical tape on both ends). Both the white and black in the switch box are landed on the screws of the switch, and back in the receptacle box, the black lands on the hot screw (generally copper colored) on the line side. Grounding is still done as common, don't forget to connect the ground in the switch leg so you can ground your switch box, too.
Have you used a switched GFCI before? In my experience, it's a common problem in bathrooms that a GFCI is tripped when a light (which is on the protected, or load, side of the GFCI) is turned on. You may find that he GFCI trips out when you fire up your dust collection unit sometimes. All you have to do in this instance is to hit the "reset" button, but it can be an annoyance.