Congrats on your first ozone purchase!
The room will definitely smell like ozone using that machine. No worries. If it gets overbearing or if you get a headache, tight chest, involuntary cough or sore throat then you're probably getting too much raw ozone in your lungs for your body to handle at this time. Open a window and let some of it dissipate.
It's not dangerous to use the machine without the air dryer, It is just less efficient and it will produce some nitrogen compounds if the room air is humid. this will also shorten the life of the machine. Fortunately, replacement air dryers for the machine are quite inexpensive. I think you can get more than four or five dryings out of each drier. If the beads are still going back to blue they are OK.
hope this helps