It is pretty easy to make a homemade smoke bomb using potassium nitrate and sugar. The thing is, that this mix can be used to make black powder, smoke, or rocket fuel so be careful and mind your mix.
Potassium nitrate can be ordered through online firework supply houses, and pure chemicals are always best, but I find that if you check the label, some stump remover is 99% potassium nitrate.
Once you have the nitrate, the next thing is to get some common sane sugar.
The potassium nitrate is the oxidizer and the sugar provides the fuel.
The proper smoke mix using these two chemicals is 60 grams of the oxidizer and 40 grams of the fuel.
Mix in a non stick pot that you will NEVER use for food again. Mix with a wooden spoon and keep it on low heat. You do not want this to catch fire on your stove. (You are warned).
Mix constantly and do not walk away. When it melts and turns to a light brown peanut butter consistency and look then take it off the heat and pack into your form.
This is hot so be careful – cardboard toilet tissue rolls are easiest, but I used something smaller with the idea to embed in a soda can mortar round later.
I also took some and just rolled them into balls and stuck in a fuse.