The best option for covering air vents during construction would be plastic drop cloths. You can lay them over the vents or use painter’s tape to secure them, but be sure not to run the system while the vents are sealed. You can also use standard canvas drop cloths, although these may not catch all of the dust. Be sure to cover the supply vents on your floors and walls, as well as the HVAC return vent, which is typically on the ceiling.