I have been thinking in this kind of solution as well. Pumping out a lot of air out of the workshop could be quite expensive during the winter where I live. Heating cost when it is sub zero outside would be a problem. If you could clean the air and keep it and the heat inside would be a better solution.
The key word there is removal of "most" toxic gases. Weighing the complexity and cost of an indoor vent verses the cost of propane to heat my shop during engraving with an outdoor vent, I think I will stick with the outdoor vent. Plus you never know if there is that one carcenogenic gas that doesen't get completely filtered. Not going to chance it.
I agree with lasersafe1. In that same forum I linked is a gentleman talking about how even with his large filtration system he sees no smoke and smells nothing but his eyes start to burn after 30 minutes of cutting. That was more than enough to scare me to do an outdoor vent. I plan on doing a small pre-filter just to try and keep the smell down but I'll still be venting outside.
This might be a harder problem than I first thought. As my concern is about the heating problem there might be some other way around it. Maybe it would be possible to have some sort of heat exchange on the air going out?