Not sure if the pic was the original, or your copy, Stewart, but if it's your making you don't need any advice from me!
I've never had much success knurling - did you use a single wheel or one of the two wheeled jobs that presses on both sides of the workpiece?
And yes, metal swarf gets <everywhere>. At least it's not usually quite as hot as welding spatter, but make sure your shirt is buttoned up.
Still, I've not heard of allergic problems with dust from metalworking.