Cleaning your heaters from dust makes them a) more effective and b) it cuts down on dust floating around since expecially heaters with covered vents collect dust like woah.
I usually clean my heaters before I switch them on before I turn them on for the first time and regularly during the winter.
And if you are like me and didn't know there are dust brushes especially for heaters go forth and buy one instead of fiddling around with cloth and a curtain rod *ahem*