The vacuum action should collect all of the lead. In its molten state, it doesn't separate very easily. If you're working with any solder you should also have an extraction fan going, which would further prevent any particles escaping.
Now I think the tools themselves could definitely build up a coating of particles. How much they come loose and form an aerosol I don't know, but cleaning them would probably help.
Lead is the known scary substance. But even with lead free solder, aerosol particles breathed into your lungs are bad for you.
I think it's less about, what are you doing to protect against the scary lead and more about what are your general safety precautions when doing any soldering work at all.
I made a particulate and air quality sensor few months ago, maybe I can try some experiments. I'm going to bet that even just heating the iron up results in particulates escaping into the air though.