SAAB 340B FLT CREW HAS FUMES DURING APCH TO TVF.

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WE ELECTED TO PROCEED WITH A VOR APCH TO RWY 31. THE WX WAS RPTED TO BE 600 FT BROKEN BETTER THAN 10 MILES OF VISIBILITY. WHILE ESTABLISHED ON THE INBND RADIAL; APPROX EIGHT MILES FROM THE ARPT I BEGAN TO NOTICE STRONG ODOR THAT SMELLED LIKE SOMETHING WAS BURNING. I CONFIRMED THE ODOR WITH FO (PF). AS THE PNF I COMPLETED THE MEMORY ITEMS AND DONNED MY OXYGEN MASK. I TOLD PF TO CONTINUE TO THE ARPT. AT ABOUT FIVE TO SIX MILES OUT WE PICKED UP THE RWY VISUALLY. I SHUT OFF BOTH BLEED VALVES AND THE REC FANS. THE ODOR DID NOT CONTINUE TO INCREASE. WE LANDED WITHOUT INCIDENT. AT NO TIME DID EITHER CREWMEMBER DETECT SMOKE IN THE COCKPIT; ONLY A BURNING ODOR. SINCE WE WERE SO CLOSE TO THE ARPT WE FELT A GAR AND TROUBLESHOOTING WAS AN INAPPROPRIATE COURSE OF ACTION. NEITHER CREWMEMBERS FELT THE EVENT HAD RISEN TO AN EMER SITUATION. ON POST FLT I DID NOT DETECT ANY PROBS WITH THE ACFT. HOWEVER; WHEN WE RETURNED TO THE ARPT IN THE MORNING AND DURING DAYLIGHT HOURS WE FOUND THE R ENGINE INTAKE HEAT MAT HAD SHORTED OUT AND ABOUT A THREE BY THREE INCH CHUNK HAD BROKEN AWAY. I FELT PARTICLES HAD MORE THAN LIKELY BEEN INGESTED INTO THE ENGINES.