If your furnace is undergoing incomplete combustion to the point where soot is being generated, you are also getting CARBON MONOXIDE into your house. But before you panic, the soot from incomplete combustion is usually black, not grey as you described. I would give a call to a good furnace man and have him do an inspection. You mentioned that you just moved into the house. If you are new to that area of the country, it is possible this grey dust is normal. I know when I moved from the north woods to the plains states, (farm country) the increase in dust in the house was unbelieveable.