If your not using the effect ingame then why bother that much?
Go with a bit of action script in flash.
Create a simple smoke .png (alpha) texture and animate it in flash with a bit of alpha fade percent using a bit of action script or simply setup the keys for the alpha fade in/out effect.
You can also import your character as png and use the smoke with it
to much job?
Then let's try something else...
If your using max you could use a simple plane or two "X" with an animated movie or
2 or 3 animated planes that has a smoke + opacity material with a bit of opacity from the material root, make the 2 or 3 planes to
go from down, up in random ways.
Or setup a super spray particle to do the work for you.
You can find that in the create panel, particle systems
No max for me?
I'm sure your not using UED so let's skip that.
If you do then you can simply create a smoke emitter, let me know if you need this info
If your using milkshape then I'll try the simple animated opacity planes one and see how that turns.
your choice now, good luck