DIY Photography has inspired me to document some of my shots in order to win their "How I Took It 2012" tutorial contest.
I began exploring the idea of photographing smoke during my one-photo-per-day experiment. After a bit of trial and error, I came up with a setup that produced consistently good results like the one below.
The key elements to capturing a good looking wisp of smoke are:
You'll want to position your camera facing your dark background so the background fills the frame. Place your smoke source in between the camera and your background. It would be best to position the smoke source far enough away from the background to allow you to keep the background out of focus. You'll want to position the flash on the side of the smoke source. The flash should be pointing 90 degrees from the camera.
Place two flags on the flash to block any light from hitting the lens or the background. The light from the flash should only hit the smoke rising from your smoke source. Speaking of which, I found that incense makes a good smoke source. Experiment with different smoke sources to see what works well for you.
You'll want your aperture set reasonably open to limit the depth of field so the smoke is in focus, but the background isn't. You'll want to underexpose the shot to keep the background as dark as possible. A very dark background will really make the smoke really stand out. Set your flash output manually. You'll want enough light to properly expose the smoke. If your flash is set too high, the stray light could illuminate the background and lighten it a bit. Since you'll be shooting in the dark, you may want to tape a small flash light to the flash so you can focus and pick your shots.
Now kill the lights, light the smoke source, and start shooting.
One more tip: control the air! The smoke will be easily disrupted by people moving around, breathing, and even your heating/air conditioning system. Try to control the air as best you can.