I always burn things outdoors with a big pitcher of water on hand "just in case". Then I just stand out of the way of the smoke.
But if you prefer burning it indoors, the safest place is in the bathtub with the shower curtain removed if you don't have glass doors. Put a large oven safe ceramic bowl or cast iron pot or a stainless steal one you don't care about (because it will get black spots) in the empty bathtub. Water is at your disposal and you can turn on the facet or shower if it gets wild.
As for inhaling the smoke. If you're sensitive, you can use a damp rag over your nose and mouth. Open a window or most bathrooms have reverse fans in them to remove steam which will also pull out smoke. For your current condition, I recommend hot tea with honey and lemon.
Notebook paper isn't good for burning because of the ink lines (added chemicals). I use white computer/printing paper that is made of recycled material. It burns in a more controlled way and it's cheap in bulk. It doesn't flame up, it burns more like cigarette paper. Which speaking of cigarette paper, that's another good one to use. You can buy small packets of them in tobacco shops. They're smaller, so they burn fast. Although I don't recommend it, when I burn small papers, I roll it up like a cigarette and hold it at one end until it burns down, then put it down and let it burn the rest of the way. Ashes don't fly up when it's rolled unless there is wind. If the flame gets crazy, my trusty pitcher of water is right there. =)