Sure.. I had a table lamp which has perforations in its holder(the dome which hold the bulb). I put in an incense stick in one of the holes and then click photos at such an angle so that only the smoke is seen and not the actual bulb light. ofcourse all this against a black background and no light!
Sorry, I cannot explain better then this, I am still a newbie in photography!.
PS: shallow depth of field is used (f2.8) and high shutter speed (1/160 - 1/200) so that still smoke can be captured...