I feel qualified to give a response, as I've cut up approx 1,000 BF of Mahogany, Limba, Purpleheart, Ash, Walnut, and Maple (mainly the first 3) in the past 6 months for my online wood-selling business
I don't have any allergies to begin with and with _constant_ exposure over the past 6 months (ie saw, plane, and sand a few times a week, store all cut blanks in my house in a spare bedroom, move them around to photograph, and ultimatly pack them for shipment, I've gotten nothing more than an occassional stuffy nose or sneeze. My roomate has had no problems from any of the dust in our house (and believe me, the lumber room smells like a kiln).
I do, however, wear a full respirator with canisters and prefilters that covers my mouth and nose, along with ear-protection, and full goggles when cutting/planing/sanding. I generally where pants and long sleeved shirts (or a jacket during the winter) when working with the lumber, I dust them off completely outdoors, and immediately change clothes and shower after I return from woodworking.
My friend, however, that occassionally volunteers to help, uses no protection and always ends up with a sinus headache and caughing the rest of the day.
For particular wood types, I haven't had any of the above mentioned woods give me rashes, itching, or watery eyes at all.
If anything, the worst I've encountered is when I had a cabinet shop do some fine finish sanding on some of my lumber, the dust was so fine that as soon as you walked into the building you'd start sneezing and caughing, it actually dried out my throat.
Anyway, to sum it up, for regular guitar building, just use a respirator, some ear-muffs, and goggles, along with long sleeves, pants, and boots (with sturdy toes to protect against falling lumber), remove all your gear outside, dust off, shower and change clothes when you get indoors, and you should be fine. Then the worst thing you'll have to worry about is splinters :-)