I have worked in Industrial Hygiene situations.The response by HELIUS is a very nice concise summary of Lead and flux fume exposure.In all lead exposure situations the main danger is hand to mouth. Lead levels were significantly reduced when eating or especially smoking were eliminated at work stations (a long time ago). This goes for soldering as well as other Lead exposure. I'll bet that after soldering for a bit of time, you can notice some lead coloration of the skin of your fingers.
Airborne Lead used to be a big problem when lead filler was sanded off, as in auto body manufacturing and repair. I do not think anyone uses lead filler anymore, it was essentially "outlawed" in manufacturing auto bodies.
Dross from the top of molten lead pots can become airborne also. It is lighter than pure lead or pure solder.This and other problems have to be dealt with in lead smelting and recycling, especially of lead acid batteries.
Colophony is really a wood product. Colophony allergy can be quite problematic and can be from inhaled or even skin exposure. It is mostly an allergy that does affect a small proportion of the population exposed.
It used to be used in shoe manufacturing and did cause skin rashes, again allergy, so not everyone gets affected.It is also used as a binding agent in things like artists clay and can cause skin allergy in this form. Other binders in this category can cause skin allergy also. Again this is in a small proportion of the exposed, but that is no consolation for the poor people affected.
There are other fancy fluxes, but these are not common in the solder we use.It is very unlikely for someone to get an allergy from occasional soldering, the studies on "flux disease" has been done (as HELIUS states) on groups of workers in an industrial setting, where exposure is much, much higher than one could ever expect in hobby use.If you are one of the "unlikely affected" again it is no consolation to know you were so unlucky.
Exhausting flux fumes should just get the fumes away from your face, so exhausting sideways or down is preferable. Your face is UP from the work piece. Filtering in an enclosed space may be necessary, that is, if you want to decrease exposure. The best thing is to vent to outside, if you are really concerned. Filtering gets complicated since both particles and gasses are produced. Filters have a short usable life.
Wood smoke probably contains many things found in flux fumes.
Exhaust from LEAD processes should be DOWN since lead is heavy. But we are not really concerned about that.
A slow steady suction is preferable, spot suction can easily create a breeze that can interfere with the heating necessary for soldering.I think a good test for the correct suction would be cigar smoke or maybe an incense stick. (If you can stand the smoke) You can see it going away from the work station. In respirator fit tests different "smells" can be used to see if the mask actually fits. This is a bit "old school" but can be used.
If you are using filters and you can still smell the cigar, or see smoke coming from the extractor, the filter is not removing the smoke entirely. Having seen the smoke extractors that are sold, I'll betcha that none of these things will pass the smoke test.
Having said all of this, It is really unlikely that any flux exposure experienced in hobby use is going to affect you at all.Even most people exposed all the time at work had no Noticeable problems.