Clean your furnace filters regularly, or change them regularly if you use disposable filters. In most households, furnace filters should be cleaned or replaced every three months, or at the start of each new season.
Switch to the highest efficiency filters that your furnace can use. The efficiency of a furnace filter is measured by its MERV rating, which stands for Minimum Efficiency Reporting Value. Filters with a rating of 10 or higher are the most effective. Consider high-efficiency pleated filters, which use an electrostatic charge to capture small particles, like dust, mold and pollen.
Maintain your furnace and have it inspected regularly by a trained HVAC professional to keep it running at peak efficiency. Have your heating ducts cleaned regularly as well. Dirt and dust builds up in ducts over time and can cause filters to get clogged faster.
Spray your filter with a light coating of vegetable oil or furniture polish to help it trap particles from in the air.
Consider an electronic air cleaner. They can be installed in your ductwork much like mechanical filters, and use an electrical field to trap charged particles as they pass through.