The photo club had a workshop on smoke trails a few weeks ago. As can be seen in the images, we used incense sticks for the smoke. For best results, use a black background and use a flash from the side. If possible, fix a "snoot" around your flash, which is a tube of material, preferably black, that directs the flash to the subject and helps to minimize reflections on the background. The snoot at my table didn't fit well, so these were taken without one. I had only minor reflections to clean up in photoshop.

The fun really begins in photoshop. The first of version of each of these is the original, except for a couple that I added color to. The second versions of these were created with the "Invert" command, then I let the color sliders go wild to create the different colors.