Bicarb soda (Not powder, this has cornflower in it) or charcol tablets are good for absorbing oders, depending on what colour your yarn is (Coz you don't want black wool looking like it came from a sheep with dandruff).
Also try chucking a unripe green apple in the container for awhile to make it smell nice. Just remember to check it doesn't go over ripe, mushy or rotten. And for some reason I've only heard of GREEN apples working, not the red, pink, or yellow ones. I'm not certain if it's something to do with how they ripen or if the green they mean unripe, or what, but hey.
DO NOT SPRAY WITH PURFUME!!! It can set certain oders and discolour some dyes-although you probally knew that