I was always taught that one never prays alone (even if you are literally alone) because at some point around the world someone somewhere, as well as the saints in heaven, are praying with you the same prayers.
The "Church" to us sometimes is the building down the street where the Alter and the vestry is. Of course this is the church in one sense. But we must remind ourselves that the Holy Church reaches from one end of the earth to the other and is 'to be' the same on earth as it is in heaven.
In heaven the saints, martyrs the angels and arch angles, Seraphim and Cherubim, the elect and all the hosts, principalities and dominions of the etenal kingdom to come are all worshipping and praising Christ without ceasing.
So when we pray we are NEVER alone.
We are earth bound and waiting for the second advent and while we are waiting we are singing and praising with all our minds, hearts our whole being. This is what the apostles teach. As such every aspect of our lives are in the church. WE are never outside the church at any time in this sense.
Our homes are an extension of the church. Our homes are spiritual places of worship. In fact anywhere an orthodox christian who keeps the way of the true faith stands by virtue of the grace of the holy spirit it is a spiritual place of worship.
This is not to say the eucharistic rites or any of the holy sacraments are to be performed. Such is to done in a 'consecrated' structure by an ordained clergyman; of course this is the 'church' in the more common sense.
Incense is good for the home for prayer and worship.
Some communions prefer to keep incense in the sacaramental pratice of the church only and not for prayer outside of this. I do not object to that. This does not mean that communions that do insist that the layman use incense in prayeer is doing anything wrong. It is a choice
It is important to me that the layman understand that he/she is an instrument of the faith of Christ and not just a spectator with no power or purpose. At baptism we recieve the gift of the holy spirit which permits us to be workers and vessels of the faith, followers of Christ. This is the most important gift in the holy church. No one can become a deacon, priest, or patriarch without first recieving 'baptism'.
It used to be a time where the faithful would even wear clothing only use for worship ("sunday best") a "holy garment" like we read about in scripture. This is similar to a vestment of sorts. Not a clergical vestment but similarly "vesting" in a way that when in the sactuary we appear before God as His people; humble and with humility....penitant. This has changed radically; particularly with orthodox women today with all the hair does, make-up, jewelry not to mention the fit of the clothing I see these days. I am not trying to sneak in a hidden topic or agenda here I am just trying to show that the laymen has somehow been left to his/her own devices today and thus has little 'sense' of connectivity and purpose withing the faith and the church. Burning incense may help with prividing a centeredness with the holiness of the faith and church practice. This will also allow the whole family to share in the the richness of prayer especially non-believers. Of course it is a good intro to potential converts
I find that incense used in a burner with coals are the only way to go. If the stick or other types are the best a person can do than by all means.
Ask your priest for prayers fitting to be done over the incense as you place them on the coals. This is not a must but it wil add to your spiritual intention and raise the circumstances of "burning incense" above common.