Install an air conditioning return filter at some central location, like a hallway, where air flows naturally through a house. Place a return for air conditioning only near a ceiling, to collect air that has warmed as it passes through the house; combination heating/cooling returns normally are located at floor level.
Fasten a metal return filer frame to studs or ceiling joists, depending on location. Fit the frame to the size of return required for air flow; you may have to cut into studs for very large returns, but these openings generally are framed during construction of the house.
Size the return and filter to the output or air flow from the air conditioner; systems must be balanced so a return will collect all the air being put out, but not pull out too much to reduce the efficiency of cooling. Use removable return filters; there are many styles, most with paper or fiberglass elements which trap dust and dirt particles.
Add filters in each vent or outlet, in the floor, on a wall or in a ceiling. Buy filters to fit the size of the vents or get material, typically polyester or similar foam, that comes in rolls or strips and can be cut to fit any vent. Remove vent covers; lift them out of the floor or unscrew them from a wall or ceiling mount. Fit the filter material inside the vent cover and replace it.
Use an electronic air filter in extreme cases. Mount these mechanical devices in the return air frame, with an air flow sensor that will activate them only when the unit blower is turned on. Use these either in wall or ceiling return entries with access to electricity to power the filter.