I have been trying my hand at some Smoke Photography. Equipment used:
1 x Incense Stick
1 x Black Background
1 x Canon 40D with Sigma 28-70mm Lens
1 x Canon Speedlite 430II flash with an Elastic band and 2 pieces of Cardboard.
1 x Table light - to light the smoke for the auto focus on the camera
Ok I will describe the cardboard first. With the flash you do not want any spill over of the flash, so you strap to pieces of cardboard on the side of the flash head, so that you direct the flash towards the smoke.
Setting for the camera, F/9.0 Speed 1/160th. Flash was set to 1/2 power.
After shots were taken, I processed in PS CS4, inverting image and then adding another layer and blending in some colour.
This is the results.