I'm respirator certified through work (chemical industry). Like what's been said here, anyone spending a lot of time shooting indoors would be well advised to wear a HEPA respirator. Your cheapy N95 dust mask is not going to cut it as the lead dust is quite fine and can pass through the paper, which probably doesn't fit the face well anyway. Luckily, a half face (nose and mouth covering) respirator with HEPA filters is not expensive and can be quite compact and relatively light weight.
You can do a basic fit test on your own. Once you've put on the face mask, cover the filters with your palms and inhale hard. If the mask is fitting right, you should feel a strong vacuum on your face that doesn't have leaks around the outside. Likewise, you can do a positive pressure test by covering the outlet valve and exhaling. A properly fitting mask will remained sealed. Do the same tests while bending over, turning your head side to side and up and down, and when wrinkling your face and working your jaw. Test your respirator fit in the same way you'll be using it. Wear whatever PPE you will be using and assume the shooting position. Facial hair will prevent a good fit, some can get away with packing their beard with grease, but clean shaven is best. Track your filter buy dates and replace when appropriate.
A respirator labors your breathing. Be mindful of this, especially if you have any respiratory or cardiac health issues.
This might seem like overkill, but if you're doing a lot of shooting indoors, it might be worth having a proper respirator fit test performed. They hook your respirator up to pressure monitoring equipment and can precisely detect any leaks. Not sure how much these cost, but it may be worth the money. Lead poisoning is no joke. Regularly testing your blood lead levels is a smart and easy way to track your exposure.
Range cleanliness varies quite a bit. Sweeping the range leaves a lot of fine dust behind and probably sends a lot airborne too. If the range doesn't have very good air circulation with HEPA filters you can guarantee that there is airborne lead waiting to be inhaled.
Anyone who reloads should wear a respirator until the brass has been cleaned.
As far as OSHA, I won't trash them as "nanny". Working in the chemical industry, we see OSHA doing good work. University students are not considered workers and academic labs are not under OSHA authority unless they hire lab assistants (which is somewhat rare). University labs also have much, much worse safety than industrial labs. Hurting and killing students is free (except bad PR), while hurting employees is expensive. OSHA fines are good incentives to mind reasonable safety standards. Most "stupid" OSHA regulation have an injury or fatality that prompted it's existence. OSHA works.