Is zeolite effective for controlling room odor?
For an odor absorbing material to have a realistic effect, air will need to pass over/through the odor filtering media. Zeolite does remove certain odors, but not as well as activated carbon. You should be able to find both zeolite and activated carbon air filters for furnaces at a hardware store. If you don't have a furnace, or it is a summer-time issue, then perhaps you could construct an air filter by duct-taping a filter to the back side of a box fan. Cut a 12" hole in the filter directly behind the motor so that the motor doesn't overheat. 
Also, cyclodextrins (like hydroxypropyl beta cyclodextrin found in Febreeze) can trap odors.