Yes, you should be cleaning your plants. You think to dust your bookshelves and tchotckes (I hope), and your plants are sitting there collecting all the same dust. They're alive, but that doesn't make them self-cleaning. Plants not only need to take in sunlight through their leaves, but that's where their respiration happens, too. Dusty leaves are bad news.
You can wipe down your plants' leaves with a damp cloth, and for stubborn dust, add a drop of castile soap to a big bowl of water. Wipe leaves gently -- no need to scrub -- and while you're at it, remove any dead leaves that may have fallen around your plant. (If dropped leaves linger on top of the soil, they can provide cosy hiding places for bugs, or even rot.)
Nothing is better for cleaning leaves and stimulating growth than a nice, long lukewarm shower. We recommend rinsing your plants in the shower for 2 to 5 minutes, twice a year (ideally in the Fall and Spring before the extremes of the summer and winter seasons).
Just make sure to leave your potted plants in the shower for a while afterward so they can drain, lest you bring a shower's worth of runoff to your windowsills and tables.