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..
Add pictures here
<% if( /^image/.test(type) ){ %>
<% } %>
Add image file
Upload is a website for homeowners and building and maintenance pros. It is not affiliated with any of the manufacturers or service providers discussed here. All logos and trade names are the property of their respective owners.