I think 99% of the time it starts when people are quite young and heavily influenced with peer pressure.
By the time a person is wise enough to think, "This is really stupid," it's far too late. Nicotine is by far the most addictive drug available. Once addicted, it is extremely difficult to give up because it replaces a chemical that the brain produces. With nicotine, the brain no longer produces that chemical and the addiction is set.
People don't start to smoke to relax themselves. They smoke after the addiction takes hold to relax themselves because it is physically needed with the lack of the natural chemical the brain would otherwise produce.
I don't smoke, but I chew tobacco. Like most all tobacco users, I started when I was 14 years old with my friends and peer pressure. I am now 36 and it's not as easy as waking up and saying, "I'm going to quit now." Not that easy at all.