You should clean your heater if you see the dust on its vent or on the body itself. Accumulated dust can mess with the heater’s working. So just use a cloth to wipe the dust away, or use a vacuum cleaner on the vents to pull out all the unwanted stuff.
In addition, cleaning your heater’s air filter is also an important task. Be sure to go through the instruction manual and follow the guidelines on how you can clean the filter and maintain your heater.