Yes I have done in the past in my slightly 'hippie' stage when much younger, now I have an electric wax burner which I do use sometimes if I want to relax, play some Enya or Sarah Bfightman and dift off into my many memories.....
My husband and I regularly burn insence. Fragrance is chosen by mood. We keep smelling till we pick the ones we like at that time. We often blend different aromas. We allways keep dozens of different ones so we can pick and choose and combine to suit our moods. We found different ones can be calming, uplifting or invigorating.
Why not ask them, courteously, when invitation offered to you, if they could not burn it on day you going there?
If 'friends' they should have no objection whatsoever. If they decline, probably not 'true' friends!