If you check out any of my battle reports on here, you will notice me using smoke markers to denote destroyed, burning vehicles. eg
http://z3.invisionfree.com/The_Ammobunker/...?showtopic=1483 They can be quite effective and I have been asked a few times how to make them so here is my quick guide. :D

You will need greenstuff, a handful of two pence pieces (ok, if you are not from the UK, use something cheap and of equivalent size, approx 1" across), and some of this white snow effect stuff! Don't ask me the brand name, because I liberated this from Santa's Grotto!!!! I'm sure if you ask in any department store, they will give you a piece from their displays! It's particularly good because it's not soft like cotton wool and teases nicely into shape.

Wrap a piece of greenstuff (about enough to make a sandbag ;) ) around one end of the wool.

Then attach it to the tails side of the coin, smearing it across the whole coin. This makes it look less fake as the smoke then seems to sprout from the whole surface of the coin rather than one point, begging the question "why is there a burning coin on your tank?".
Please don't deface the Queen's head when doing this (or weighting figure bases for that matter).

At this stage, I usually add a little sand on exposed GS / coin. Helps when you come to dab on flames.
When you spray them with black undercoat, hold the smoke in your fingers so you can spray the base fairly solidly. The base needs to be very black. Then put the base back down, and give a whisper of black spray over the smoke. If you put on too much, tease the smoke out a little bit more to expose white inside.

Finally, dab Red, Yellow and Orange paint around the bottom of the smoke as it leaves the base.
Et voilą!
PS It's quite easy to use the same technique for coloured smoke markers or vehicle smoke dischargers to denote tanks under smoke.
Simply spray your marker the appropriate colour! For vehicle smoke markers, spray the base white.