What is the difference

between oils that you burn and oils that you wear?

There is no difference in the oil itself.  Some oils are popular for burning, because people like that fragrance in their home - you can think of cherry or frankincense.  Other oils are most popular as perfumes.  A person may not want to smell like cherry, and may not want their house to smell like Chanel #5.  But a person can wear cherry and can burn Chanel #5 if they want to.