Sorry it took me so long to reply back... busy week.
I wish I could say I owned some gels to play with, but I don't. Instead, as you said, I changed the Hue and Saturation levels in PS. Once you get the shots of the smoke with a black background, editing in PS is easy. It almost feels like cheating (to some, it probably is).
My setup. I've attached a diagram, but basically I taped some black poster board to the wall to use as a back drop. I used a printer box to put the incense on because it was the perfect height. For the vase, I put another piece of poster board underneath it to get the reflection.
I put the box and incense about 2 feet away from the backdrop, then placed a speedlight about 3 feet to the camera left of the incense. I also put another piece of poster board behind the speedlight so no light would spill onto the backdrop.
I put the camera about 2 feet away from the incense. I was using a Sigma 28mm f/2.8. I'm no expert, so the distances are not exact. You might have to play around with it to work for you. I shot mostly at 1/200 and set the speedlight to around 1/32 - 1/64. Again, something you can play with. I started my aperture to f10 and adjusted from there. Since I was using the Command Mode in my Nikon to fire the speedlight, I used a piece of cardboard to direct the flash to the left towards the speedlight but not let it fall on the smoke.
To focus, I turned the room light on, focused on the smoke, then turned the light off. Then I switched to manual focus, but it at least gave me a reference to work from. Since it was really hard to see the smoke through the finder, I just shot away and adjusted the focus based on what I saw on the LCD. That's why some of the pics are soft.
I think that's about it. I just whipped up those numbers mostly on memory, so take it with a grain of salt. The big thing is just to do it and play around with it.
smoke setup by
growedup, on Flickr