I at depends on how picky you are on your substitutions.
I have smelled real ambergris and clary sage is only vaguely like it.... and ambrette is sort of musky, but nothing like real musk.
So, Opium is mostly synthetics but here are the topnotes: mandarin, plum, clove, pepper, cilantro. Midnotes are lily of the valley, rose, jasmine. Basenotes are labdanum, benzoin, myrrh, opopanax, castoreum, cedar, sandalwood.
Usually when someone wants to smell like Opium they are referring to the basenotes which are classic oriental/amber incensey ones. Taking all the basenotes from natural EO's or absolutes would smell great. Since you probably don't want to harm beavers you could skip the castoreum. Then if you can afford it you could add some rose and jasmine, A touch of clove and pepper and voila. It would not have the complexity of Opium but would smell lovely if that is what you are after. Though I am not sure how you were thinking of making it into an incense. You could mix it with powdered sandalwood, or put the oils on a blank incense punk and burn it as a joss stick. Good Luck.

Ive heard that Dragons Blood is a good alternative to Opium for making incense.