Just my 2 cents on the subject, but when sanding I always wear a high quality face mask. I don't at the scroll saw, because I've rigged a great dust collection system to my saw and have NO dust on the table or under the saw. I use clear tubing, about the size of my finger, and it connects to larger PVC pipe. There's a T connector so tubing points to both the top and bottom of the saw, and takes the dust away right at the source. This is connected to an Oneida Dust Devil separator, and then to a Fein shop vac. The Dust Devil keeps almost everything out of the actual shop vac.
This can take a bit of trial and error to design, but well worth the effort. I've used duct tape and security ties to attach it to the saw, and find the security ties work best, as you can take them off and replace them easily with no mess. I've even attached the top part to the post that is supposed to hold the hold down tool on Dewalt saws, since the actual hold down tool has long since been removed and thrown out!
When I do demonstrations at shows, without the system, I'm always amazed at how dirty the table gets, even with the dust blower. When in the shop, the dust blower is turned either away from me, or sometimes on my face to help cool off, if it's not quite hot enough to bother turning on the AC.
Dust collection is something everyone must decide for themselves, but there is ample research showing how dangerous it can be.
Nancy