Even essential oils undergo some processing phase, which I don't consider natural because the plants that are used are engineered and exposed to many fertilizers and chemicals. The only way for sure to get some Grade A stuff is to actually press your own organically grown plants yourself and extract the oils.
As for the dangers of wearing fragrance, I can't say it's completely harmless because I doubt anything is nowadays. I suppose you could reduce the risk by spraying on your clothes, but that would defeat the purpose. I don't think about it much because with all the pollution in the city, fragrance is the least of my worries. If you had any idea what chemicals are used in most food products, you'd think less about cologne.