There are many answers to this question. Sometimes you can be certain of what you synthesized based on observations about the reaction process, including heat absorbed or emitted. Sometimes you can put the compound in a solution with other known quantities and react them to identifiable products. You can run the compound through a series of different tests which collectively confirm that you've synthesized it. Spectral analysis can play a role. Chromatography. In extreme cases, you might bombard it with radiation and interpret the scattering pattern.

The kind of device that would function as a reusable detector for small amounts of the substance floating freely in the air, while useful for measuring air pollution, is rarely used when researching how to synthesize new compounds.

You can build a nose to detect something specific quite easily. Building a nose to smell everything is hard