You can use any type of textile from an old pair of tights to professional HEPA filters, as long as the surface is big enough to let a sufficient amount of air through. Therefore you could maybe create a long mesh tube, apply the filter material around it and roll it up in order to get the largest possible surface within the smallest volume.
I think there is no way you can reduce the amount of dust by some chemicals, as they would have to get in direct contact with the dust particles. So smearing some glue onto the fan grid will not have much effect.
But you could possibly increase the humidity in your room to reduce the amount of dust flying around. This however would also affect you yourself.
A possibly more effective but also dangerous idea of mine would be to build a box with two metal capacitor plates that can be charged with static electricity (you would have to buy some electronic parts and do some soldering). This would draw the dust onto the plates while the air passes by. However, you have to make a case around it that is connected to the ground to shield the outside from the electrostatic field. And you will have to put it in some distance to your machine, connecting them with maybe some kind of paper/textile tube with wires in it to make it keep its shape.
However, the easiest way is to buy some prebuilt dust filters. For example, there are filter panels with magnetic or adhesive tape to place directly onto the fan grids.