There is a balance you have to reach between good airflow (cooling) and dust. I find the panyhose to be it. Good enough filtration without a significant impedence to air flow.
The fine fine dust will still get in, but the larger crap will not. Find that I may dust it once a year. I only dust it when I upgrade or need to open the case, and it is clean. The fans show some of the fine dust, but nothing major before the pantyhose.
Mrvile has the same recommendation, but I think the cheesecloth and nylon socks are heavier.
Take a fan out and run it with the various materials infront of it (depending on your air flow needs). See which one pushes (or pulls) more air through it, and realize it may be less once mounted in a case.