If you have sulfur smell in your house while burning anthracite something is wrong. That's like saying you can smell diesel exhaust from oil burner. The one caveat is if you are using hand fired stove and some gases escape into the house while loading but it certainly shouldn't be a consistent smell.But my house doesn't smell like sulfur. To me that is more important.
Or those of us that prefer wood could just stick with wood and not deal with coal dust in our homes at all.Coal dust certainly can be a nuisance in a house but it can be mitigated. First and foremost buy your coal in the summer when it's going to be the cleanest. I used to deliver coal hence the username "thecoalman". Most breakers have giant hoppers with a chute for loading high lift coal trucks. Before it hits the chute it goes across a screen with water jets. The winter can be hit and miss because the coal will freeze in hopper and they aren't usable. However if your coal delivery guy is buying the loader operator a very expensive bottle of bourbon every Christmas they might be able to get him to save the cleanest and roundest pieces on the edge of the pile.
The very worst time to get coal delivery is during very cold weather because the breakers usually shut down and you end up with coal off the stock pile. If it hasn't rained/snowed in some time that can be very dry. Even if it's wet it's "frozen dry".
Just prior to delivery if the bin is in the house dampen the walls and floor of your bin with garden sprayer. There is usually very little dust from the delivery itself but it can kick up a lot of dust from the floor or walls of the bin. You can also use the garden sprayer to dampen coal prior to shoveling it, the only issue with this is can exacerbate corrosion in the hopper. Other than lowering the efficiency some the water has no affect on burning it. Some dealers can also offer oiled coal for small fee, they use mineral oil or you can even do it yourself with the garden sprayer.
Another thing you can do if using bagged coal.... Put the bag in the hopper, cut the bottom with razor and pull the bag out. There is various other tips and tricks, too many to mention here and many depened on the circumstances. .