So basically the lights go out, I click to take the picture (with a shutter speed of 0.8 sec, an ISO of 800, and f/7.1) and as soon as my first assistant hears the click, they release the flash. The key to the whole process is a dark room and the flash hitting the smoke from the side. This way the black background stays black and the smoke is lit up for an instant, forever frozen in time. While the lights are on, you wait patiently for a good smoke formation and make sure to focus (it helps to focus on the actual incense and then just aim up to the smoke above).
Now as I said in the beginning, Photoshop is very important. The images, which are moderately interesting, are lacking quite a bit to look like the final product. Some basic tweaks are to bring up the darks and lights in the levels menu. Then use your burn tool to darken any parts of the background so that they are completely black. Finally, you can fun by either inverting the whole image (to make the smoke black) and/or going to the color balance menu and changing the colors. In the case of the image seen here, I did both.
I look forward to taking more images of smoke as well as water droplets very soon.