In the scenario you described, the first components involved are A) dendrites in your sensory neurons.
When you smell cookies and bacon, sensory receptors (located in the olfactory epithelium) detect the chemical signals of the smell. This information is then transmitted to sensory neurons. The dendrites of these sensory neurons are responsible for receiving the stimuli (the smell) and generating signals that travel through the axons of these sensory neurons to the brain, where the processing occurs.
So, the correct answer is A) dendrites in your sensory neurons.