What's better? My bedroom having some home built filtration art in it, or the inside of my lungs looking like they've sucked down a lot of forest fire?
If you care that deeply about what your room looks like, great. There are plenty of good looking air filters you can pay lots of money for. I'll spend far less to have a far better filter out of the deal.
I've done box fan filters before, and they certainly help if they're what you can afford or can find in stores, but after enough years of dealing with wildfire smoke this year I invested in commercial units and I am significantly happier.
After doing a fair amount of research, I ended up with a series of Coway units. They're more expensive than box fan filters, but they're smaller and significantly quieter, especially with a sensor-driven auto mode that adjusts fan speed based on detected pollution levels. This means I'm far more willing to leave them on all the time and get the benefits 24/7. The fact that they're multi-stage is a big plus too, particularly with cat hair around. It means that I have to clean the outer charcoal filters more often but the inner HEPA filters only 1-2 times a year. As an added bonus, power consumption is significantly lower than my box fans.
They also have a carbon layer that's supposed to help with odours and that pollution that can't meaningfully be caught by a simple HEPA filter, although I don't know how effective it is.
If you let the heavily polluted air in (a few hundred µg/m³), then close the window and set the purifier to maximum power, it cleans the room in ~20-25 minutes.