Air Filter and Box Fan
Here’s an option for the people affected by the smoke in California. I use this on a regular basis. I use a very good air filter and tape it to a box fan. I used the Filtrete Healthy Living Elite Allergen Reduction Filter, MPR 2200. These cost about $15 on Amazon.
As you can see from the picture, this simple setup is doing an excellent job at filtering our the small particles in the air.
While you could use this in your furnace, I’ve found that it reduces the air flow quite a bit. I ended up putting one of these filter fans upstairs and one downstairs.