If I read your post correctly, you are having issues with the colored embossing powders "flying off" the stamped image is that right? If this happens when you pour the powder on and then dump/tap off the extra...then all I can think to suggest is use a very small dry paintbrush and check over your paper carefully, gently brushing away any stray powder before heating.
Or is this happening when you hit it with the heat gun, in other words; everything looks great, then you turn the heat gun on it and "Poof" powder flies off the stamped image and lands elsewhere; melting before you can get rid of it?
If so, then do as someone else suggested and try holding the heat gun farther away...OR if you are using the heating gun Stampin' Up sells it might just be too powerful. I've had mine for years and not had enough of a problem to notice but the SU heat gun does blow pretty strongly. I've been considering buying this one: http://rangerink.com/?product=heat-it™-craft-tool
as I've seen Tim Holtz use it in many tutorials and he has mentioned that it doesn't blow too hard so as not to blow the powder away off the stamped image and onto other parts of your paper.
I hope this helps!