Unless you are shooting thousands of shots per day in a confined area lead dust should not be a major concern. Touching the pellets to load exposes one to greater contact. If it still is a concern 'DuctSeal' a clay product used in electrical applications can be formed into a trap to capture the pellets. It can be cleaned and reused for a long time. Home centers would be a source for Duct Seal.
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Distinguished Rifleman #731