My respiratory doctor says ideally we would all do just like commercial shops and just blow the finest dust away outside. Although most small shop woodworkers should exhaust their shop air outside, most do not. He said there are many excuses and reasons to vent indoors, the main one being that it is easier. Venting our dust collectors and cyclones indoors even with fine filters causes our shops to build up dangerously large amounts of fine dust. Venting inside also increases our risks as most dust collectors and even cyclones come with collection bins that are not fire proof. There are a few good reasons to not exhaust outside and many better reasons to do so.
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In some areas like mine venting outside is illegal. Although this is what I heard from my County building inspector's office, it turns out that it is illegal only if I am a commercial firm, so is not enforced for small shops. This is one of those things that upset me considerably because I tried to do all right, got bad advice and spent a lot of time and money that really was not necessary.
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The noise can upset neighbors. Adding a little sound proofing either around our dust collection equipment or storage shed, plus using a good muffler, homemade or commercial will address most of the noise issue.
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Too many small shop owners foolishly worry about blowing the heated air out of their shops when commercial firms have shown that doing so really is not as expensive as trying to filter the air. Large commercial shops with huge blowers that turn over the entire air volume many times every hour have known for years a good radiant heater will leave us feeling little discomfort unless it is below freezing outside.
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Our hobbyist dust collectors and cyclones are built for indoor use. Repair is as easy as providing their own shed or covering to place our dust collectors and cyclones outside. Many simply choose to keep their cyclones inside and vent outside.
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Also, a good many of the woods used in woodworking today can kill our landscaping plants, and can harm our pets and children when they play outside. Repair is fairly simple, use a cyclone separator to remove the heavier sawdust and chips. The remaining fine dust will dissipate in the outdoor air without causing problems.
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Finally, Unless we provide a way for makeup air to enter our shop, blowing the air outside can suck deadly carbon monoxide backward through our vents. Most need to just open a door or window and they the risks of pulling the carbon monoxide out of our fired appliances vanishes.