As a firefighter and a member of our Dept.'s highrise team I've been to countless fires from houses to highrises.If you light a fire even a small one indoors your going to fill the place with smoke.A single piece of chicken left on the stove,while the owner goes out fills a whole house with smoke.
Paper is one of the worst for smoke,both smell wise and vollume.
I've seen first hand what you get with a little carcoal,when some dope tried to "grill" indoors.His neighbor called when he saw the smoke puffing from his house.
If you need to stay warm why not grap a few sweaters most woman keep at work?