As others have said, don't change lenses in the canyon. Also, it's a good idea to use something like a skylight filter over your lens while in the canyon, as the guides throw dust into the air to make the light beams more obvious and photogenic. While this dust does make for nice photos, it is often accompanied by small pebbles. A friend of mine picked up a nick in his filter when one of the pebbles hit the front of his lens. After that, he covered the front element/lens filter while the dust was being tossed around. (You won't have this problem in lower Antelope, which I highly recommend you shoot. Try to get there early in the day and stay a while, as the light changes constantly.)
If you're using a ballhead, be sure to clean it immediately after leaving the canyon. Mine collected a LOT of dust and started to bind up. I had to clean my head several times a day while in Arizona.