Do I need to take any precautions regarding smog when travelling?

Recently, Beijing had issues with severe smog.

I understand that too much smog can be unhealthy, but also that the likelihood of possible damage is probably related with the exposure time. For sunshine, one uses sunscreen for preventing to get too much sun-burnt. Which, if any, precautions should I take to prevent any smog-related issues?

While Beijing is the city mentioned, naturally this would apply to any city with high levels of smog cover.