I put my sawdust in the vegetable garden compost pile if it doesn't contain any chemical additives (IE sheet goods) or walnut. I make sure to empty the dust cans when I mow the grass so that I can mix in a bunch of nitrogen-rich grass with the carbon rich wood to make a good compost mix. If this gets nice and wet, it actually breaks down pretty quickly if it is turned into an established compost pile.
If I have some MDF or plywood dust mixed in, I save it for layering in our
dog waste compost (talk about a nitrogen rich balance to the wood!) since I make sure to only use this compost on flowers or the yard-nowhere near any dirt that will grow something we want to eat. Though there are still some synthetic chemicals in this mix that the composting process won't break down, I have to admit to using chemical fertilizers, herbicides, and pesticides occasionally, so I am not going to worry too much about the chemicals from the wood products.
If I generate dust that is primarily MDF, ply, treated lumber, or an irritating wood like walnut, I will use that for starting fires in our outdoor fire pit. The only thing I save for the landfill is treated lumber since there really is no safe way to mitigate the metal content of the dust that I know of.
I really like the idea of using walnut dust as a filler for patio bricks to keep weeds out. I'll have to try that the next time I have a walnut project.