You don't want it in your lungs.
This stuff is corrosive when damp, and holes in your lungs take a long time to heal, if ever.
Some people just breathe it and cough it up later. I don't understand how they can do that, but then, I don't understand how people can smoke, either.
Some people wear a bandana, and breathe through it during the dust storms. They claim it is good enough, but I don't believe them.
Some people use disposable painters masks, medical masks, cute Japanese public-health masks, and even full-on fireman's or safety respirators, which is awesome but expensive and overkill.
What you want is the "Mu2" sports mask. You can order them here, or from REI or other high end sporting goods stores and sites.
It is AWESOME. It's cheap, it's light, it's comfortable, and you clean it by wiping it off ever day or two. And most importantly, it works very very well.
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