Here's a photo demonstrating how simple an oil heater can be.
I have had a drip fed waste oil heater heating my house for eight years now, and although it is not pretty, there is a very good trade off between looks and costs. Prior to fitting the heater, I used to cut and burn 25-6 tons of firewood every winter, the cutting and splitting of which severely cut into my leisure time.
The photo above was sent to me by a gentleman in New Zealand who has since built and installed a modified and much prettier version of my own. He assembled this in his back garden just to test the principle because as he admitted later he did not believe that it was so simple. The lower end of the flue is made from an old cylinder liner from a Mack truck and being cast iron, is easy to drill, highly resistant to heat damage and cheap and easy to replace if you need to. I have not replaced mine in eight years and it is not showing any signs of burning out. There are four versions of my heater now in use that I know of. One heats a lap pool used by a paraplegic, the others are heating homes and a workshop.
Regardless of what you may have been told, they can be made to work very successfully without smoke or unpleasant odours, although they can take a bit of mucking about to fine tune as they do not have a great range of clean burning temperatures and need to be set up to burn cleanly at or near the temperature best for your purposes. As for licenses, there is no provision for licensing here in Australia, but if asked I would say, "Don't ask and don't tell" what the authorities are unaware of is obviously doing little or no harm.
A bit of history on mine can be found here: http://www.geocities.com/senojekips/shed.htm