Although you can easily buy smoke bombs from one of several fireworks stores, if you want to make them on your own, here is how you can do it.
To make colored smoke bombs, you will need saltpetre or potassium nitrate (KNO3) and table sugar or sucrose. Now mix Potassium Nitrate and table sugar. In the presence of heat, Potassium Nitrate reacts with appropriate quantities of sugar to produce a slow combustion process with little flame and plenty of smoke.
If you want to produce more smoke, you may use brown sugar.
It is advisable to grind and refine the ingredients separately as too much refining can cause the mixture to ignite before the bomb is prepared. When they have a fine enough consistency, mix water to form a paste-like substance.
Now make lumps out of this paste and leave it to dry for about a day in a well secured, cool and dry room. When the bomb mass becomes clayish, you can use it.
For making colored smoke bomb, you may add a pinch of sodium bicarbonate to the solution that you had prepared. You may also add some organic dyes in to the mixture.
Your colored smoke bombs are ready!