Dust filters help, but over time dust will get in regardless.
I have the original, all-steel Armor case, and vacuum the dust off the front panel filters every month or so. When I swapped out the guts last year (after two years of service) I could find no dust in the interior.
Whether you have filters or not, you should clean the inside of the PC regularly. The easiest thing to do is to just use compressed air cans. I do that every month or so - blow air into fans and heatsinks, and other potentially dusty areas, and gather the dust that's puffing out with a vacuum cleaner. You should avoid using the vacuum cleaner too near the components though, it creates static electricity that may damage them.
Actually, the easiest thing to do is to use the vacuum cleaner with a micro vacuum attachment kit, I have this specific one:
http://www.amazon.com/Micro-Vacuum-A...7687376&sr=8-4 but you can find other kits for half that price.
The bad thing about compressed air is that you can easily wedge dust deeper, such as in the heatsink fins, making it even more difficult to get the dust out. You
could try to catch the flying dust with a vacuum cleaner after shooting with compressed air, but you won't catch more than half and the wife will be standing behind you tapping her foot and tersely stating, "I
just vacuumed in here YESTERDAY..." In other words, skip the compressed air+vacuum, take it outside.
Yes, I speak from personal experience.
If you've got so much dust in your heatsink that it's clogging up the fins, you should definitely remove the heatsink and clean it properly (wash it and let it dry if nothing else gets to the dust).
But do NOT wash with water. Water+dust=mud, and then it becomes a chore. Also consider what happens if you have a Zalman or similar and water gets to the spindle or ball-bearings. Best solution I've found is to use a credit card (or perhaps thinner, depending) and dig the dust loose.
Almost two years ago I built a machine for my 8-year-old nephew out of old parts. Used an Inwin A500 case, and taped a USED dryer sheet to the front intake area (under the bezel), and had a relatively strong fan behind it sucking in air. He brought the machine back a couple of months ago: the dryer sheet needed replacing, but the interior was almost completely dust free. Ghetto, yes, but very effective.