I do know someone who has spoken to a coworker directly rather than going through the manager... my mom is allergic to a number of perfumes and at least twice she's asked someone in the next cube to tone down the cologne.
Of course this conversation is easier than some personal scent conversations, but she still had a lot of angst about it. What usually seemed to work was something along the lines of, "I notice you like Giorgio, I like it too but unfortunately I'm allergic to it. Would you mind wearing less of it to work?" A person would have to be awfully touchy to take offense to that. :)