What to do about dirt particles after painting roll cage?

If I was you, i would wet sand it with 400-600 grit sandpaper, depending on how big the dust particles are. Then spray another coat or 2 of paint. For durability sake, i would also spray 3-4 coats of satin clear coat for protection. Good luck man, i cant wait to see this with the interior back in!
 
If you want to help keep the dust down, do it in a wind free envireoent, and hose everything around it down (driveway etc) so that dust will stick to it when it hits it instead of floating off.