By using the "recirculate" setting you avoid bringing in polluted air from outside the car in the first place, so it certainly does help. Just return to fresh air when away from busy roads and polluted areas.

And paper filters do, of course, remove dust and particulates, which are part of the problem. Just not things like NOx and volatile organics. And depending on the filter, it may not be effective against really small (eg PM2.5) particles.

Activated carbon filters are cheap, mine cost $12. I can't speak to whether all other cars have compatible fits though.