In my experience, wood dust is a lot more benign than some of the stuff that comes off the lathe anyway, although it does have this nasty habit of soaking up oil… I just wipe it off carefully with an oily rag, and start over with the lubricant/protectant. What you definitely shouldn’t do is to try to blast it off with compressed air – it gets blown into all sorts of places that it shouldn’t, gets mixed up with metal detritus and can then cause some real damage if it gets out again.
If it gets really sticky (which it doesn’t sound like you’d let it) then I suppose that you could use paraffin to thin it a bit, but that’s almost as likely to wash it where you don’t want it as an airblast is, so I’d only use that as a last resort, unless you don’t mind a lot of dismantling.
The dust on its own shouldn’t affect the DRO scales at all, even if it gets inside, but they shouldn’t be oily in the first place. So if you can find an easy way to catch it, then just a gentle soft brush should remove it from them, I would have thought. Technically, there’s a difference between capacitative and optical scales from this POV; the cheaper capacitative ones would need a heck of a lot of dust on before it made a scrap of difference, but if you got enough dust on an optical scale, it might affect the accuracy – but before that happened, you’d have serious problems elsewhere, I think!
That’s just my take on dust though, having suffered from the same problem for years – interesting to hear what anybody else thinks…