I got that advice as well – the explanation given to me was that it’s almost always used incorrectly, so just be safe and don’t. However, I like the way it makes writing more closely resemble natural speech; we usually talk in conjoined clauses rather than complete sentences.
I don’t exhale, rather I just close off my airway to stop the big inhale. It sounds super uncomfortable to try exhaling at that point, but with some practice I have been able to stop the inhale and that mutes the sneeze considerably. Also, I can plug my nose when I feel it start to tickle and stop the sneeze entirely.