Taking a vigorous dust bath is a natural behavior and essential to keep their lush coats clean and healthy. Not only is it good for their health, it is fun and relaxing for them.
Store bought dust is the best to use because it is designed specifically for them. Place the dust in a designated bath, bowl, pan, etc. When the chinchillas roll in this dust, it penetrates their coat down to the skin and absorbs oil and dirt from the fur.