EMB-505 Captain reported smoke fumes during climb. Flight crew notified Tower and returned to the departure airport.

Narrative

Aircraft departing XXR had a strong odor of smoke fumes during climb out. Both crew members agreed they could smell it. Immediately notified Tower of the return and continued climb to 3000 feet. Reduction of power seemed to have reduced the fume smell significantly; entered a downwind and received landing clearance to land on XXR. Landed cleared the runway and set the brake with engines on and fire trucks near by with the exterior of the plane appearing normal. Talked with passenger and he appeared to be fine and we then taxied to back to the ramp uneventfully. Spoke with fire rescue after parking and they were fine with us leaving the aircraft there.Suggestions: Given the location of the incident and reduction of appeared smell crew didn't don oxygen masks/goggles for the fumes. Hindsight we should have complied with the procedure and then landed the plane in case the situation degraded.Request priority handling prior to give Tower a proper indication of distress.