Haha! The first time I used my homemade filter-fan I was spraying red acrylic paint (Createx) on a lexan car body, I had the fan in my window blowing out as a filtered exhaust fan... the filter was pink by the time I was done! It now has a white powdery PVC dust on it as well from me cutting PVC for my SPADs. Larger dust particles still settle and you have to clean that up, but the fine stuff gets sucked into the filter. The 3M Filtrete filters are more pricey than standard filters, but they filter much finer particles, and are "accordian" shaped or zig-zagged to maximize the filter surface area.

I got the box fan for $15 or so, and the filter for $8-$10 or so at Home Depot, and I just taped the filter to the back of the fan with electrical tape... don't need much since the fan suction holds it on there pretty well all by itself! It's cheap way to minimize the mess inside your house or work area, and cut down on the particles you breath in. Wearing a mask or respirator is still a must, though, while you're working.