No matter how full of well being your incense package claims to be, its made chemicals from China; ask anyone with who is sensitive to chemicals or who has asthma. When I had MCS- Multiple Chemical Sensitivity I could not stay in a room with even one votive candle burning. It burned my lungs and the neurotoxins affected my brain. I did some research and found that the American Lung Association advises against using candles and incense because of the burning LEAD in the wicks, the petroleum in candles and the burning toxic chemicals in incense. These are major lung irritants for anyone with asthma or chemical sensitivities. Even burning natural incense that you are sure is natural, is likely to have pesticides.
I use delicious smelling bees wax candles which actually improve health through negative ions and aromatherapy. Tallow candles are good as well. Soy candles are better than petroleum candles but since all but organic soy is GMO, it is full of heavy pesticides. Palm is said to be good, but the palm harvesting is destroying the last orangutang habitats.
Burning un-sprayed sage, tobacco & other plants which are traditionally burnt never bothered me in the least. Some smokes, like mullein is supposed to be healing for the lungs. I think sage is healing for the lungs as well (not when sprayed).
When I was sick with chemical sensitivity I was terrified of anything burning or any scent. But there actually are some things that burn which are not bad for health. One of the more brilliant moves I made was purchasing 50 bees wax candles (for $25) and handing them out to my candle burning friends and asking them to burn those instead. I could explain to them about the petrochemicals and the gift made me not offensive! It made it possible for me to stay at events, and hopefully, some people started thinking about their toxic candles.