Air filter

My woodworking activities occur in my garage, which is (currently) unheated. I'm considering building a sub-micron air filter. My neighbor is an HVAC guy and could get me a blower for nothing. Is there any benefit to using an air filter vs. just exhausting the air outside? I think I would see the benefit if I heated the space in winter, which I'm considering this year, of not exhausting warm air outside to be replace by cold air..
todd
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