Growing up Anglo-Catholic, I had theorized that when my family moved to a new town, they would drive around on Sunday morning with the windows down. When they could smell incense, they parked the car because we had found where we would go to Church!
Years later I would hear the axiom, "There are only two smells associated with the afterlife: Sulfur and Incense-- you better get used to one of them!"
I recently came across the item, below, which suggests an alternative to the popular notion that incense came to be used in the Church because the ancient Roman government used it in the Senate for the simple reason that people had an odor.
Incense Found To Be Psychoactive