I have a dust allergy (actually it's a dust mite allergy, but the less dust, the better for me). Here's what really helped:

Bed and pillow encasing (I bought Pristine Complete from Allergy Control Products). Washing my sheets and blankets on hot once a week.

Getting rid of carpeting in bedroom if at all possible, no upholstered furniture in bedroom (hard surfaces that can be wiped down with hot water and a few drops of Dawn only, other than the bed, which is encased).

No pets in bedroom (or inside house at all, if possible).

Try to keep clutter out of bedroom - like any clothes stored in there need to be in drawers or closet closed, any extra stuff under bed in a closed plastic bin or something, etc.

Regular showers (so skin flakes don't create dust sooner - nothing crazy, like at least every 3-4 days or so).

Bedroom curtains that can be washed on hot every few months or so.

A humidifier for bedroom in winter (dry winter air makes it hard for me to sleep, but if you live in a warmer, humid area, then maybe that wouldn't be as good for you).

Minimizing things like wall to wall carpeting, etc. in other parts of the house, using a HEPA filter on vacuum, etc.

But the most important was, getting allergy testing from an ENT and ALLERGY INJECTIONS!!! I could not function without them. Those and making the bedroom really easy to clean were most important.