I use a foam archery target. No muss, no fuss, no extra noises of the pellet hitting the backstop. The no cleanup is a very good thing. Lasts years. Most are double sided, so in a year or so, when the first side is getting punched in, turn it around and start again, to another years-plus of shooting. I just use paper targets stuck to the foam with a piece of steel, punched into the foam.
NO...lead dust except what may come out of the barrel.
Mike