It is not really necessary but I do it just to keep my area clean. I have an air compressor and just use that to blow off the excess dust outside. Don't get crazy with it, don't jam the nozzle in the bushings or or anything like that. Just a light sweep with the nozzle removes the dust plenty easy. If I didn't have a compressor I'd use a dry paintbrush or just find a container to store the mill in.