wikiHow shows you how to paint with smoke! –
Beginning with Wolfgang Paalen, visionary artists, including well-known surrealists such as Salvador Dali, practiced the fine art of “painting with smoke,” otherwise known as “fumage.” More delicate than charcoal, providing intriguing textures and patterns, fumage can serve as a standalone media or as an innovative approach to guiding the application of other media.
Sculptures made with smoke – Link.
HOW TO – Photograph smoke – Link.