No problems glueing cocobolo here, just use titebond and the same methods as glueing any other wood. Maybe I've just been lucky.
As for the dust, I recently bought a nasal irrigation product and use it after working with cocobolo, or any other time I'm in a dusty environment. It's a bit uncomfortable to rinse out your sinuses with saltwater, but not so bad after you're used to it. Kinda like getting water in your nose when swimming. And it sure helps me with any breathing issues after being in the dust.
I got it at a Kroger grocery store, so I'm sure it's fairly common. Here's a link if anyone is interested:
http://www.achooallergy.com/sinus-neilmedsinusrinse.asp