Many of the Dragon Modern & Vietnam era figure sets have smoke grenades in them. In addition to the one listed by Pawel, I am pretty sure that the USMC Keh Sanh & Hue sets have at least one, as well as the MACV SOG, LRRP, SEAL figure sets. I will have to look at mine to confirm that. But it would be exceptionally simple to scratch build them as well using styrene rod for the body and strip styrene for the spoon & fuse portion.
F is for FIRE, That burns down the whole town!
U is for URANIUM... BOMBS!
N is for NO SURVIVORS...
- Plankton
LSM