@Liquidxlax You're actually cooking them in the embers down below. The leaves still burning are up on top, and the smoke carries that scent away.
@Bighomer You use the wet newspaper to keep the skin of the sweet potatoes from drying out too much, the moisture leeches out of the newspaper into the skin as they cook. Newspaper isn't as likely to stick as something like paper towels would either, because it's got a slick texture.