Hey Alex,
unfortunately, oiled mechanics like the ball screws of the Onefinity CNC are totally incompatible with wood dust. It mixes with oil and slowly bakes a oil-wood dust mix into the ball screw which will at some point block the machine, as shown here:
See this FAQ: Troubleshooting: Rail is getting hung, stuck, or out of alignment
Therefore in the industry, CNCs for milling wood have their mechanics enclosed with bellow covers, as you can see e.g. here, but can also be found on some on hobbyist machines.
So I would not recommend to use it without some way of dust extraction, and you should always try to collect the dust as close as possible to where it is generated, i.e. at the milling bit. I assume you own at least the Onefinity Suckit Dust Boot Basic or maybe the Infinite Dust Collection Kit (Includes Suck It Pro and PWN CNC v8 dust boot kits. If you own a vacuum cleaner, even if it’s only the Henry, I would use it. At thingiverse.com, you can see how Suckit dust boot Vac adaptors look like, e.g. for this one for Fein or for this one for Festool which allow to attach your vacuum. I don’t know the diameter of your vacuum hose, but possibly you can find one matching, or someone will 3D-design and 3D print one for you.
The ball nuts have “wipers” at each end whose purpose is to keep dust away from the inside. However, as you can see above, their effect is limited, some improvement may be possible with the wipers of Giancarlo (@Tuvix72).
Some people protect their Y balls screws with curtains or with plexiglas panes or metal panels as shown here and here. While this can help to prevent large amounts of chips and dust to land on the ball screws, it can never replace a dust collection.
Onefinity gives Instructions for maintenance and cleaning but spot on the importance of dust collection repeatedly.
Welcome to the forum!