As far as I can find, Incense as a purchasable item only appears in the Advanced Race Guide (if you're an Aasiamr, 10 sticks for 10g) and Occult Adventures.
So starting a new character with incense in organised play would require owning Occult Adventures?
I understand that material components can be purchased where the GM could expect they could be found, but what if they're not material components?
As a side note, 7sp each in Occult Adventures makes the Atonement for a deliberate misdeed (2,500gp in offerings and incense) using only incense would be over 3,500 pieces, which I also find quite amusing, and most likely particularly pungent.