In the case of sulfur, you can mix sulfur powder into water in your bathtub and cleanse your body, without releasing smoke. Sulfur powder should not be burned unless one will not be present in that space for several hours. The smoke is highly toxic.
Sage, on the other hand, is safe to burn and to fan the smoke over the body.
"If thou canst not make thine own self what thou desireth, how shalt thou be able to fashion another to thine own liking. We are ready to see others made perfect, and yet we do not amend our own shortcomings."
—Thomas à Kempis