Any chance we could harvest all those dust particles for an significant improvement in aero-breaking capabilities or would it destroy most heat-shields?
In the simplest models, drag is directly linearly proportional to density, i.e. doubling drag would require doubling the air density.
Based on terrestrial flying experience: any material that can be suspended in a mixture (i.e. water droplets forming clouds, or ash/dust particles also forming clouds) isn't significantly changing the density of the containing medium. If it did, the air would tend to separate out over top of the dust. As-is, wind is capable of keeping the particles suspended.
So no, my (admittedly SWAG) conclusion is that you won't see an improvement in aero-braking.
Sandblasting effect I don't have a good guess at. Presumably at high entry speeds the entry shock would be pushing most of the dust around the vehicle, but I have no idea at what point the dust could become a problem.