Dreadlocks and dusty environments. Metal dust, Saw dust, Crawlspace dust... - Dreadlocks FAQ's
I don't even think were supposed to talk about dust! (did you see the golden compass? heh, ok, anyway)
My first instinct would be to keep them covered at least until they are done maturing or close to it. It's probably still a good idea to keep them covered whenever you're around the dust, (I would) but after they mature it's less likely for the dust to get deep inside them where it would be difficult to wash out.
Some types of dust could be a real problem. Metal dust, if left in your dreads, could rust. You'd have rust orange water every time you washed(how embarrassing)...and it could possibly damage the hair and have other strange side effects that I'm not aware of...like you might become magnetic..attracting paperclips and such...could be very annoying....
I'd pick out a tam or two you like a lot, colors that won't show the dust so much, and sport'em when you're around the dust. They'll let your dreads breath and bounce around as happy dreads do. Simple, effective, no bodily harm.
TIP: When I have to go crawling around in the dirt under my house to run wires or whatever, I put my dreads in a tam and then cover the tam with a plastic grocery bag. You have to tie it a bit so it doesn't fall off but it works great and you don't have to wash your tam each time. This also looks amazingly cool...if you're really lucky some neighbors might stop by unexpectedly and catch you in the act!