Last night I accidentally inhaled a fair amount of rust dust. It was more like a half inhalation due to me stopping upon detecting the dust. I believe I was able to cough and expell the majority of the particles. Are the any major concerns I should have at this point?
More information is needed to determine if this is a risk to you or not. "Rust dust" isn't specific enough to know what you might have been exposed to--what was the object rusting, made of what, and in what kind of environment were you (well ventilated or a small enclosed space)?
If you are not feeling any further lung or airway irritation, you are unlikely harmed by this but whether this was a potentially toxic exposure depends on what you were exposed to.