One way to make smoke is to craft a smoke bomb, but you can make a smoke powder, too. Here are some formulations for colored smokes. The parts or percents are by weight. Basically what you do is measure the ingredients, sift them together to mix them, and ignite the powder to produce smoke. Up to 2% sodium bicarbonate (baking soda) may be added to slow the combustion/cool the reaction, if necessary.
White Smoke Recipe
Potassium nitrate - 4 parts
Charcoal - 5 parts
Sulfur - 10 parts
Wood dust - 3 parts
Red Smoke Recipe
Potassium chlorate - 15%
para-nitroaniline red - 65%
Lactose - 20%
Green Smoke Recipe
Synthetic indigo - 26%
Auramine (yellow) - 15%
Potassium chlorate - 35%
Lactose - 26%
More Dyes and Colors
If you can order chemicals, here are some of the dyes used to produce more colors:
Red:
Disperse Red 9 (older formulation)
Solvent Red 1 with Disperse Red 11
Solvent Red 27 (C.I. 26125)
Solvent Red 24
Orange:
Solvent Yellow 14 (C.I. 12055)
Yellow:
Vat Yellow 4 with benzanthrone (older formulation)
Solvent Yellow 33
Solvent Yellow 16 (C.I. 12700)
Solvent Yellow 56
Oil Yellow R
Green:
Vat Yellow 4 with benzanthrone and Solvent Green 3 (older formulation)
Solvent Yellow 33 and Solvent Green 3
Solvent Green 3
Oil Green BG
Blue:
Solvent Blue 35 (C.I. 26125)
Solvent Blue 36
Solvent Blue 5
Violet:
Disperse Red 9 with 1,4-diamino-2,3-dihydroanthraquinone
Solvent Violet 13
Wikipedia was the resource used for this list, with no citation of the author's reference, so use care if you try these additional dyes. If you know of a reliable reference for additional colored smoke formulations, please feel free to share with us.