I've thought about it, but not yet done it. I do carry a silk handkercheif in the shoulder pouch I commute with, as well as a fleece "neckover" tube that might help.

I spent some time thinking about this after 9/11, and I think I would do something similar if I were working in a high rise. At the moment I'm moving from the 5th floor in one building to the 2nd floor in another, and the scenarios where I might be dealing with smoke/dust for long periods of time seem unlikley enough not to warrant the preparation. Not only are these low buildings a much less likely target, but if something did happen, it should be much easier to get out and away in short order.

Just remember to ignore the voice on the PA system telling you to return to your desk...