We end up in marquees quite a lot so they are less of an issue, I would think the grade of paraffin would be critical, I remember my great grand mother had a paraffin heater which was toasty warm and only remember smell on shutdown or start up.
She had a window open slightly to allow continuations fresh air, so I would guess as long as a good grade paraffin is used and you have air supply via a window they are okay.
There were also pink and Blue paraffins-from memory the blue was household and red was greenhouse?
Paraffin/Kerosene heaters are more popular in America and from what I read modern heaters are okay if you have ventilation.