Aromatherapy most certainly DOES work, and I will tell you how...When you inhale aromatic molecules they pass through your nasal passages and adhere to the mucus in the top of the nose.The molecules dissolve in this layer and are picked up by microscopic olfactory nerve receptors(on the ends of tiny hair-like cilia) which are a part of the olfactory bulb, a direct outgrowth of the brain.
When aromatic molecules and receptors link up, a nerve impulse is generated and sent back to the olfactory bulb which processes the impulse and sends it to the limbic system. The amygdala, the part of the brain responsible for recognizing the significance we apply to smells we have encountered in our lives, picks up the scent and processes it.
Smells can affect us negatively, in the case of smoke or any unpleasant aroma that we attach feeling to, but they can affect us in a positive manner. Smells affect us by triggering chemical messengers and can actually affect brain chemistry.

I could go on and on, but you get the idea. So, my point is, that yes, Aromatherapy is not a made up theory, there are studies and innumerable documented results testifying as to the relevance of this wonderful and natural gift we have been given to help us along our journey called life.