The setup's nothing fancy really, a nightlight candle and a black bedsheet for the background. Camera was on the tripod and the flash just hotshoe mounted as usual. The trick I found was to snuff the candle rather than blowing it out, that way the wick stays smouldering and you get more smoke. Make sure you have two candles then you can keep relighting without wasting matches.
The shots themselves were taken in high speed burst mode with a remote release using manual mode, f/5.6 @ 1/100 or f/8 @ 1/100. I'm going to give them another go though and up the shutter speed a bit, there's quite a bit of motion blur on some of the duffers.