Here's a couple of videos showing how to make signal grenades.
Use them in your paintball games, checking something for air tightness, or as a signal smoke for backpackers and hikers.
The smoke grenade in the first video is a pretty wimpy one but it shows a simple method to make one up.
What this video doesn't show is the proper way to add and secure a fuse, so I'm going to fill you in:
When you pour your mixture into the mold, stick a pencil into the middle of it and let the shit harden up. Pull the pencil out, insert your fuse, then tamp with cotton or cloth. Tape the entire thing up with duct tape, leaving a hole where the fuse enters. This will force all the smoke out through one small area, making a denser cloud.
You can get fuses from hobby shops (cannon fuse) or you can make your own by adding some water to smokeless (NOT black) gunpowder to make a paste, then rolling some heavy string or twine around in it, then let it dry.
For more impressive results, use a shorter, wider container to provide more surface area or make a better container yourself.
You can also make colored smoke by adding dry dye, about 3 or 4 spoonfuls.
As you can see in the video, these do produce flame and heat, so don't get fucking stupid and light one off where a fire can result. If you burn your house or barn down, don't say you weren't warned.
And here's another method, one that looks easier, but I can't vouch for this one personally.