Of course, you will wear a dust mask when sanding. My favorite is an old 3M paint respirator. Ordinary paper cup or surgical style masks don't seal as well. This leads to dust in your lungs as well as the annoying fogging problems for your safety glasses. Having a dust bag on the sander does not alleviate this point, but does make cleanup of the shop easier.
Safety glasses are especially important with the random orbit sander.
Mine have noticeable scratches from when pieces of the paper come flying off the edges of the disc. That is, if you sanded to 220 prior to staining, sand out a small swirl with 120 grit. The paper will quickly load up with finish and sawdust, but you can get rid of most of the swirl if it is not extensive. Reapply the finish and continue on. Otherwise, you will have to wait for the finish to dry and then sand it all off.