As far as I can tell they are only colored to make them look nice. When burning, I can't tell yellow from blue by the smell. Being counter-current they have a hollow core which means the smoke exits from below which is something to consider when deciding what to use. them to burn. Anything they sit on (even a good ceramic backflow incense holder) will get coated and clogged with a tar-like goo. Incense cones are very similar to burning tiny charcoal cones around your home.
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