Thank you all for your advice. I wanted to wait for a resolution before I responded. Here's what happened.
Tuesday we got a call from a TV repair guy to come and do a "safety check" of the set. I thought he was from the tech service who was scheduled for Wednesday but he was not. Probably a bad choice for safety check for smell because this fellow was a VERY heavy smoker and admitted his "sniffer isn't so good". Truthfully, while he was in the room I couldn't smell the set at all, just the cigarette smoke emanating from his clothes. (not kidding)
Anyway, when he was in the process of removing the back of the set he finally got a good whiff of our complaint. No fire or burning inside. Anyway, he spoke to his supervisor telling him he had never smelled a set like this one. Sony called us later while we were gone (naturally) and left a message. The smell is normal. Call them if there's any other problem.
It's now Saturday, 8 days after we first got the set. After nearly a week of being in an isolated bedroom in the basement with no return air duct, with the set on, with a fan blowing directly into the back of the set, with the window open, through two snow storms I might add... the set finally smells acceptable enough to move into a living space.
I purchased the set online from Abe's of Maine. Abe's is upfront about a no return policy so I could not return it, and had to deal with Sony. (this, apparently is the downside of buying online.) I had vowed to dispute the sale on my credit card if I couldn't use the set within a week. A week ended yesterday, however, it was obvious on Thursday that the smell was becoming less intense, and on Friday it was almost reasonable. Last night my sister and son couldn't smell it at all other than a "new" smell. I suppose at this point my wife and I are sensitized because we still smell it.
Tomorrow it goes into the den. Thanks again for your good advice. The upshot is, despite the beautiful picture quality I would hesitate before buying a Sony again unless I could return the set.