Technically I do not think it is "allergies to incense" that are bothering you.
Incense is like smoke - not a real allergic reaction; an irritant reaction
I am not sure how much an antihistamine will help you.
I would wear a mask - if you really want protection get the N-95 type - more expensive but worth it
Get a plastic poncho that you can put over your clothes and take it down when you are done with the visit. bring a bag to place it in a bag and seal it.
When you get back to the hotel, in addition to a shower (including shampoo hair) before you go to sleep, do regular nose washes with saline/bicarb combo (available in little packets easy to carry)