Incense is a very broad term, but there are some main types. The most basic are either ground (powdered even) solids or oils (or just enough oils added to a powder) which is either sprinkled on a burning caol, or some sort of burner, or can sustain its own ember.
The common cones and sticks are made with a paste of a powder -- typically a charcoal powder (called dhoop ... which is why you see dhoop cones from Satya Sai Baba: it's just dhoop made into cones) which is either shaped independetly or rolled onto a thin stick (typically bamboo).
It depends on what sort of incense you wish to make. If you just want to use loose incense sprinkled on a coal, then it's easy:
Read about herbal properties. There are several common kitchen herbs which are associated with what you're seeking. Sprinkle some of those onto a burning coal. I may not be the best smelling, but basically, there ya go. But some can smell nice. I used to use a mix of cinnamon, nutmeg, and a couple other spices to make a bit of smoke, and also to scent the room. It smelled like Christmas cookies. Those spices also happen to have some magic-related correspondences; I just never really leaned that way.
You may also find stick or cone incense for an affordable price. Just look up the main scent or ingredient to see what correspondences it has.
Do you know why The Catholic Church uses incense?
Because,so the story goes,the Magi gave to the baby Jesus the three most priceless things known to Mankind,at that time. Gold, Frankincense, and Myrrh.
Now you can buy Frankincense and Myrrh quite cheaply. Mixed together, and burnt, they give off the most calming smoke.
Other types of incense may smell very pleasant, but they do not have the effect of these two.
I'll assume the sea salt us for the heat-proof base. The answer is yes: you could. People will also use sand or powdery ash.
As far as just wrapping some dried herbs in paper and lighting it, that's where I'd have to shy away a bit.
Incense is so aromatic because it smolders. What you described sounds like you may just ignite it and burn it. If there is a flame, it is burning.
Also about the paper: If you do make some set-up so it smolders, that is there is a self-sustaining ember but no actual flame, then you would get a lot of odor from the burning paper. It is why incense is either made such that it sustains its own ember -- such as the common stick or cone incense, or self-sustaining powders -- or a small amount is added atop a lit coal. Charcoal will have very little odor of its own.
Be careful with the disc-shaped self-lighting discs, however. They light by means of a chemical reaction; beware inhaling much of the smoke from that. And yes: That part will stink a little. But it will settle down a lot after.
Regular charcoal for a barbecue will not sustain an ember very well; it is too dense. It works better in a heap with other coals, as a larger mass of heat with decent enough airflow to continue combustion.
And some people do prefer bamboo charcoal, as it can be lit with just a flame (maybe a candle -- I have never used it), and does not use harsh chemicals. However, it can be expensive.
