Throughout history, people have burned incense as a way of sending requests or prayers to the supernatural, so a dream that you are burning incense can mean that you have a problem that you do not believe that you can solve yourself, and you are seeking outside help, whether that is in the form of divine intervention or simply in the form of help from another person or organization.
Memories are often evoked via scents, so the scent of the incense can have a specific dream meaning if it is associated with a memory from your past.
Because incense rises into the air/heavens, it can represent a desire to move up to a higher level of consciousness or to develop your spirituality further.
If you dream that you are burning incense, it can be a message that you need to focus less on material things and devote more of your attention to intellectual or spiritual matters.