Do not put filters on your vents! You'll restrict airflow to about zero. Maintain a pleated filter at your single return air. Pleated filters should be changed every 2-3 months, as opposed to every month for fiberglass filters. But pleated filters do a much better job at catching the dust particles before they enter your system.
You may be getting the dust from gaps around your vents. Go up in the attic and make sure the area around the outside of each vent is tightly sealed. Use caulk or whatever to fill any gaps. Also, if you have carpeting you should have it professionally cleaned once a year.
Just never put any obstruction in your vents. Remember, an AC unit is not an air filtering device. The air filter on the return air serves one purpose - to keep the inside of your system relatively free of dust.