I got playing around with some gelled strobes and a stick of incense tonight. The gels didn't work very well, so I took them off and just shot bare strobes. The smoke was a lot sharper without them. But then I thought it was lacking color so I made some layer masks in Photoshop and messed around with hue and saturation and came up with this. So it's got some levels adjustment to make the blacks stronger, and some unsharp mask. But no cloning or adding smoke from multiple images or anything.
1/250th sec. f/16 iso 400