If I'm not wrong, if you create the emitter and skip the EmissionStartTime and EmissionStopTime, it will emit forever.
Now, simply put in the AddEmissions tiny smoke balls, and maybe even a MOPixel with a tiny glow that has PinStrength and it has a low LifeTime.
To attach it to the cigar, well, you just use 
Code:
   AddEmitter = AEmitter
      CopyOf = Cigar Smoke
      ParentOffset = Vector
         X = [Your X position here]
         Y = [Your Y position here]   
And that should be it. I suppose.
If you want an specific guide on offset attaching, look in the stickies, there was a good guide by Azukki there.