I like using Tamiya smoke (x-19, if I recall). Thin it a bit, then load up the ol' airbrush.
Here's my trick for doing exhaust work. Hold the airbrush tip next to the exhaust ports and blowing back. This will allow the paint to fall naturally where the exhaust would.
If doing gun port weathering, use the smoke again, but this time, hold the airbrush and inch or so in front of the gun and make quick little upstrokes starting from under the gun and passing above it. It gives a pretty good representation of burst exhaust, as opposed to sustained exhaust like from the engine.
-Fred