Okay, my 0.02 as I play party-pooper! I wear a mask these days over my nose and mouth but ONLY when milling grain. Last winter, I got a pretty bad fungal infection in my lungs that started after a brew day - took me 2 months to get over it. Now it may have been a coincidence, but whenever I mill these days, I have the mask just to be safe.
That's actually a very wise idea. The dust from grain is nasty.