You shouldn't be smelling oil unless there is a leak.Since you didn't say you are seeing a leak then I can only assume that the leak is internal.
That could be a loose nozzle or a pump that has lost its seal.
It could also indicate that the combustion chamber has collapsed and you are getting an incomplete burn.
Observe burner at start up. There may be a delayed ignition causing a puff of smoke to leak out of the observation port or the vent/flue. It will smell like soot though not strong oil odor. Remove burner to check for leaky lines/nozzle or incorrect settings (sometimes the air diffuser may be too far ahead of the nozzle which can cause the oil spray to impinge on the diffuser as well. Do internet search to find burner, diffuser,nozzle and electrode settings for your make and model furnace Manufacturer's Technical Bulletins or Start up instruction manual. BE CAREFUL NOT ALLOW TOO MANY STARTS WHICH COULD ALLOW EXCESS OIL BUILD UP IN COMBUSTION CHAMBER AND CAUSE UNCONTROLLABLE BURNING/SMOKE ETC. Best to have serviced by oil burner contractor if you are not sure. Could be DANGEROUS and cause heavy smoke damage/fire. It is difficult to tell if absorbed into refractory because it can be soaked in and remain dry on surface.