Better indoor air comes from three things working together: filtration that suits your system, humidity kept in a comfortable range, and enough fresh air coming in.
Catch what floats
Filtration
MERV ratings run from 1 to 16; higher traps finer particles
Check the highest rating your blower is designed to handle
Change filters on the schedule printed on them, or sooner
A room purifier with a sealed HEPA filter helps one room