I had my wood floors refinished and of course that dust from the wood was all over, especially on the radiators. Protect any wall outlets, etc before sanding the floor.
Yes, you can just wipe the dust from the walls. Maybe one of those Swiffer mops with a dry Swiffer cloth will make the job of dusting the walls easier. I noticed that there are small spatters on my freshly painted walls and wood trim of polyurethane that the men were using (I don't know if the spatters happened because the men were not careful)...be aware that you may get some small spatters of polyurethane on wood trim or walls near floor that you'll need to retouch later.