Chinchillas and hamsters take dust baths. They are from the desert, so it's natural for them to do so. Sugar gliders are arboreal animals that live in rainforests in the wild. They don't take dust baths. They groom themselves with their back feet, it has kind of a built in comb.
Some people do get the plastic chinchilla bath houses for their gliders, but it's not for taking a dust bath. You can use it as a glider kitchen, a place to serve their food that is enclosed so they can't make such a mess with it. But no dust.