I agree with Thom. I've got one of those propane set ups. It's just a small device that clamps direct to the tank. It throws off a good amount of heat and there's no odor. I've also got a small kerosene heater but it does has abit of an odor when first lit and when it is shut off. Otherwise the kerosene heater is also good.
The up side of the propane heater is that the tank will last for quite awhile and it heats up fast. My kerosene burns for about 12-14 hours on a gallon of fuel. It take awhile for it to warm up. So I end up having to fill the tank about every other week. It's a little messy and since I don't want to spill kerosene inside, I have to stand out in the cold to fill the tank. I'm not sure about the overall operating cost per hour of heat.