Hold one stick of palo santo at an angle over an open flame until it ignites. After letting the flame burn for a short while, blow it out so that it begins to smoke. The stick will keep smoking as you move it around your room until it stops on its own. You might even put it out on your own by using a bowl of sand.
Another option is to ignite a charcoal disc, put it in a heat-resistant dish, and then rest your palo santo stick against it. The palo santo stick will be able to do this and burn like incense until the disc burns out (usually around 45mins).