Our yacht isn't small, but she has a wet locker, and I can tell you that it is invaluable to have on board, especially in wetish climates like where we sail.
Our wet locker has a drain into the gray water
system, and an outlet from the Eberspaecher heating
system which blows hot air through it whenever the heat is on. So wet foulies go in, and dry ones come out, and there is no smell.
On smaller yachts I always used the heads compartment for this since they always had floor drains. The problem with that is ventilation, and clearing out wet foulies when you have to take a leak.
If you build a wet locker, you could drain into the bilge
I think. If you don't have central heating
, you could at least put in a 12v computer fan blowing air into the bottom, with some kind of air outlet at the top.
Make sure and post photos and description of what you end up doing!