Let's put a little more thought into this. The OP does not indicate where he is from, because climate is an important factor, and many posters don't give enough information in their post.
He also notes that he has seen this around the house, but just noticed it above baseboard heaters and questioned if it could be coming from the heaters. My first question would be- is it really dust? My house is dusty. It doesn't take long for dust to settle on horizontal surfaces. I just wiped my hand across a sheetrocked wall and there is NO dust on the wall. Why would dust be attracted to a wall? Moisture could do it, but that would also encourage the growth of mold (typically black mold which can look like dirt or soot) [to differentiate mold, spray a dilute solution of fresh bleach in water on it. If it disappears, it is mold]. A textured wall finish or a fuzzy wall paper might attract dust, but that does not appear to be the case here. IF it were coming from the baseboard heater, I expect that the aluminum fins would be clogged with dust.
I would need more information: climate, location of the dusty areas (only above baseboards? on interior walls as well? only low on walls? Is the rest of the house dusty? Are exterior walls well insulated? Is it really dust?)