Yes, canned air becomes really cold when decompressing. That can cause water to condense on the nozzle and on all parts you cool down with it. Maybe not such a good idea then.
I only clean coolers and heatsinks on my devices from time to time. I use a vacuum cleaner. Just make sure you put a finger on the ventilator you're cleaning, so it does not spin up.
Apart from that, a bit of dust is not really a problem for electronics. You can clean it off if you feel like it, but there is no reason for it. Most likely you will do more harm trying to wipe off every bit of dust than the stuff could ever cause.