Particles can fly into your lungs yes - there was some concern about Opana causing lung trouble when insufflated a while back, and in general fillers/binders from pills are not something you want to end up in your lungs as there is the potential for them to cause inflammation and eventually scarring..
To minimise the risk you want to snort small lines really gently - better to do it slowly in stages than try to snort lots in one go or snort hard.
I am not sure if anyone knows how much of a risk it actually is, but always better to be safe than sorry..