while I haven't experianced exactly what you have, I have experianced some things in my life that leads me to believe there are spirits among us. I've always had odd things happen around me. things that cannot be explained. My husband's family has as well. The strongest cases have happened to me in his family home. I have heard footsteps walking on the second floor when no one was up there. I was in their home alone one morning and heard a woman's voice on the first floor while I was on the second. I called out, thinking it was my mother-in-law. When I noticed there were no cars in the driveway, I realized it was not. I went back to what I was doing and I heard the voice again, this time behind me in the hallway. I turned and no one was there.
Another instance was around the Sept 11th tragedy. I was watching the telethon in their livingroom while my husband was upstairs on the computer. We were the only two people home at the time. I heard loud footsteps coming up the back porch stairs. when I stood up to investigate I heard the back porch door open and then slam shut. No one was there. Then, the front door opened and closed and I heard footsteps coming up the front stairs. once again no one was there. Then I heard the woman's voice again. It was a terrifying experiance. My husband came downstairs a few minutes later and asked who kept coming in and out of the house. I knew I wasn't imagining it then!
As far as the incence burning. I can tell you I have experianced this. It was almost two years ago. My grandmother was at my mother's home, actively dying. She had suffered a long battle with Alzheimers. Periodically as she was getting close to death we'd get strong wiffs of incence in different area's of her room. My mother is a religious woman and she consulted our Priest. He told her in the bible it refers to the scent of burning incence being in the presence of the holy spirit. He believed we were smelling it cause the holy spirit was working through us to help comfort my grandmother. I believe it was evidance that there was a presence in the room that was there to bring my Grandmother's spirit over to the afterlife. A Gaurdian angel perhaps? Are you still haveing these experiances?