Yes the incense is good. Trouble is, if they're continually smoking, it will be in the carpets, furnishings, etc, so you will never get rid of it, only mask it, whatever you use. As long as you can keep your room smoke-free, that's something. They don't smoke in your room do they? Also, when you're a non-smoker in a house where people smoke, you still smell like a smoker: it gets on your clothes, in your hair, everything.
The warmer weather's coming now too, when windows and doors can be left open, so that will help a lot. Trouble is, next winter you'll be back to square one.