In my experience, indoor ranges are not that messy. You're not going to look like you just came out of a coal mine and I doubt soot will be any concern.
I personally do not like indoor ranges because ricochets seem to be more common, lighting is often inadequate with a dark backstop which makes it difficult to see your target, and the noise from gunfire is amplified.
For your first trip, I would recommend dressing in darker colors if you think it might be a problem and dress in layers since you do not know what the temperature will be like. I would also wear your gel inserts with some muffs over them(i.e. double hearing protection). Almost every range will rent you a pair of muffs for a few bucks.
Also, the ventilation should be sufficient to prevent the buildup of smoke. If it's not, you should find another range anyway.