The right kind of mask, with a proper fit, can help protect your lungs from wildfire smoke.
Paper masks with one strap and surgical masks will NOT protect your lungs from wildfire smoke. Scarves or bandanas (wet or dry) won't help either.
A "particulate respirator" mask is much more effective at removing small airborne particles such as those from a fire. The mask should have the word NIOSH and either "N95" or "P100" printed on it. You can find these masks at many hardware and home repair stores and at pharmacies. Be sure to follow the manufacturer's instructions carefully.
For more details, please see Wildfire Smoke, A Guide for Public Health Officials:
https://www3.epa.gov/airnow/wildfire_may2016.pdf (pages 24-28 and Appendix B)