Will Ford, a DeviantArt member, has a really good tutorial on how to shoot smoke with your Digital Camera. I haven’t got the time to try it myself, but the tutorial looks good and it’s so easy to understand.
Here are 3 simple steps needed to prepare your shots:
1. Make sure you have either an external flash or a bright room with controllable fluorecent lamp. Position the board about 1 1/2 behind stick so that it’s out of focus
2. Light the incense, the burn out the flame to start the smoke flow
3. The ideal set up is to have the very tip of the stick in the bottom left or right hand corners, and having the smoke to go opposite upper corner, this way you can get the most smoke in the picture
See also: Photography Tips