| This is an oil furnace? The blower should run on after the oil shuts off for a few minutes to cool the furnace down. The very last of the oil that comes out may not get burned, producing the fumes. I think you have a serious problem. The fumes should be in the combustion chamber sealed away from the circulating air. If there is a leak, you could be getting carbon monoxide and other problem fumes the entire heating cycle. I would instal a carbon monoxide detector today. Call the manufacturer Monday. If you installed the furnace yourself, it is possible you didn't get something right. Most come already fully assembled. Look for a misaligned door to the combustion chamber, missing seals, and anything else that could allow a leak between the combustion chamber and air jacket. Look for a residue of oil in the air jacket. If do, try to fix the leak where it is coming in.
If you can't find anything, and the manufacturer can't help, you may need to bring in a professional. I hope if there is a problem with the furnace, it is still in warranty. | 
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