In the R22, although it has no fire warning system, any untoward event in the engine bay, fire/smoke/serious oil leak you will know about because the airflow seems to be forward along the centre console and into the cockpit.
The best advice (which can't possibly cover all eventualities) is: if there is a big bang/grinding noises suggesting major derangement, shut it down and do an auto.If there is smoke but the engine still appears to be running normally, do a low powered approach ASAP and be prepared for it to go bang.