Seasoning a wok is an unavoidably smelly and smokey process that involves intentionally heating an oil or fat past its smoke point to deposit several sturdy layers of carbon based black patina upon the bare steel wok surface. Most directions that tell folks how to season their wok start off with big capital letters that say "OPEN THE WINDOW" and "TURN ON THE FAN".
I try to avoid filling my house with burnt oil aroma and so I've made the switch to seasoning all of my cast iron and woks on my BBQ outside in the backyard. It's a much more pleasant process, doesn't heat up my whole house, and more importantly, doesn't make my curtains smell like McDonalds.
Check out my Best Way to Season Cast Iron
Instructable which promotes the use of flax seed oil for a deeper, stronger, longer lasting seasoning for the background on my oil/fat selection for pan seasoning.