Like bobtheodd suggested, cotton balls seem to work pretty well--although their softness makes them pretty fragile. For something sturdier and more permanent, sculpting would probably be the way to go as Sephiroth said. Smoke, like water and fire, is just one of those things that never really looks all that authentic as a solid sculpture because the actual substance isn't a static solid--sure, you can make something that looks good at a frozen moment in time, but it's a pale imitation of the real deal no matter what you do.
I remember I had a motorized robot as a kid that actually smoked--I believe this was achieved through some oil and a heating element of some sort--in retrospect, probably not the safest thing in the world for a kid as it was likely a fire hazard.
you could use hotglue with some practice and paint it with a black/gray wash so it is still sorta clear. I had a Transformers statue that used this sorta thing for gun barrel smoke.
Halloween cob-webbing/cotton balls pulled apart? How do you plan to use it? Pipe smoke, someone on fire? It would help to know what the application will be to give you best idea.
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I remember I had a motorized robot as a kid that actually smoked--I believe this was achieved through some oil and a heating element of some sort--in retrospect, probably not the safest thing in the world for a kid as it was likely a fire hazard.
How do you plan to use it? Pipe smoke, someone on fire? It would help to know what the application will be to give you best idea.