There are many ways to make incense, but some are expensive and some are harmful to breathe. This is a simple and flexible way I found to burn incense. It allows you to use any combination of raw materials and possibly not have to pay anything for them.
The basic idea is to put the incense material on the metal surface and burn it indirectly with a heat source below. This makes very little smoke.
The pieces of wood were scavenged one trash day and saved until their purpose materialized. The log structure puts the copper plate the right distance from the alcohol burner underneath, so that the incense releases its scent without a cloud of smoke. the foil protects the wood from the very hot copper. The alcohol lamp came from my dad's lab. It works very well, but a burly beeswax candle (that would not shrink very fast) would be a good substitute.
i have burnt cinnamon, star anise, pine needles, pine resin, frankincense, copal, rosemary, and cloves. There are any number of possible incense sources. If you look around you can find many freely available.
I never had much interest in incense, but happened to buy some cones the last time i was in new york. I enjoyed them and of course that got me thinking how I could make my own.