I dislike having to sift, so I put it in a sifting device and run some cold water over it and dry it:)

If think it's important to sift perlite before use. You can buy a mask at Home Depot or Lower for a couple of bucks. I sift all perlite for dust and to eliminate tiny particles, and then I wash it. It's a nuisance but not the end of the world. And it's better than damaging your plants.

Cold water is nice because it keeps most of the fines from getting into the air. You can use a drywall mask which aren't too expensive and are also easy to find. You can probably go to the dollar store and get a large mesh strainer. That would be enough to get rid of the fines and the smaller particles.

Thank you everyone! I live in the UK so I'll have to go to another store lool

To get rid of the dust, you could hook up a fan to blow it away from you, but this would only work outside.

Thank you very much!! if I were to use pumice instead of perlite, would I still need to go through the same process ?

I think it's a good idea to use a N95 respirator for any sifting or dusty activities. It's a minor inconvenience and cost for your health. I leave my mask with my other plant tools so I don't get lazy (which happens if it's hidden away in the basement).