Horrible, Awful, Stinky, etc......FURNANCE HEATER SMELL!!!

Propane and Natural Gas ( methane) have no natural odor. An odor is added called mercaptan, a sulfur compound similar to skunk scent from which it was originally refined.
If your odor is not skunky, and its not the new construction burning off lube and paint smell, then? Tell us what it smells like.
Best idea is run it a long time, even cover some vents to raise the furnace and duct temp to burn up the stuff. Dont worry, it wont overheat, the furnace has a high temp limit that will not let it harm you.