Of all the five senses, the sense of smell is the one that that plays the smallest part in the modern church setting. There are many mentions of the burning of incense in the Bible. "At the end of the Holy compartment of the tabernacle, next to the curtain dividing it off from the Most Holy, was located the incense altar." (Exodus) "Each of the elders held a harp and gold bowls filled with incense, which are the prayers of the holy ones.” (Revelation)
Today, incense is a part of many Eastern religions, and it is used in the Roman Catholic Church. You may have gone to a funeral Mass where a censer (a covered incense burner) is swung on chains in a religious ritual to bless the altar and the casket of the deceased.
Within churches that strive to be welcoming to all, scents which may trigger headaches or allergies are not welcome. In my previous church, there was a custom of members buying potted lilies in honor of, or in memory of, loved ones to decorate the church on Easter. I would do this in remembrance of both my grandmother and my aunt, each of whom died on Easter, different days of the month, different years. But when we had a new choir member with a sensitivity to scents, the lilies were switched out for azaleas. Then the only scent in the sanctuary was the odor of mothballs from a certain gentleman's well-preserved suits.
For further reading:
The smell of fresh rain: The unexpected pleasures of our most elusive sense / Shaw, Barney. 152.166 SHA
On God : an uncommon conversation / Mailer, Norman. 211 MAI Does the chapter "On the authority of the senses" have anything to say about the sense of smell?