Get a big enough air filter. There are some small filters that work great in cozy rooms but aren't going to do the trick in a big living room. Air filters usually come with recommendations which tell you how big a room they should be used in.
Clean and maintain your air purifier regularly. HEPA air filters need to have their filters replaced, whereas electrostatic filters need to be taken out and cleaned. Many air filters have automatic warning lights that tell you when they need to be cleaned.
Keep doors and windows closed. Air purifiers are not very effective when air is continually moving in and out of the room. If you like a breeze during the day, turn the air purifier off to save energy. Then, close the windows at night and run the filter.
Put the air purifier near to any known source of dirty air. Air ducts can circulate a lot of dust along with heated air, so you might want to keep your air purifier near the duct.
Keep your room clean. An air purifier can only do so much. You need to regularly remove dust from the air and discourage the growth of mold through good housekeeping.
Don't block the filter. Make sure the intake vents and the air output are at least a few feet away from any nearby objects.