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Title says it all. Any suggestions on how do I do those things? Possibly where I could find out?

I use woodland scenics bulk foliage for smoke effects. You can also use smaller clumps for explosion effects. Interestingly you can get different smoke effects by using different glue. Superglue gives you a harder edge as it tends to soak in and stick the whole clump together (just be careful you don't ignite the scenics material). Normal gel glue, or hot glue leaves a fluffier appearance.

Smoke/fire example



Explosion example (Just under his feet).

I played against a SM player at a tournament that brought wreckage markers made of electric tea lights surrounded by painted cotton plumes... it looked amazing. The light from the tea light flickered like something was still on fire or small munitions were going off or something after the initial explosion.

I don't have pics of his markers but it goes a lil something like this:
Tea Lights
Smokey Cotton Looking Stuff to put over Tea Light




Edit: Edited redundant redundancies

I have done some great fire effect with cotton and superglue. Looked pretty good once I painted it.

I used pillow-stuffing to make these damage markers. Tear off a piece, fluff it up and shape it. Glue it to a base (perhaps not relevant for you, but it helps to have something to hold onto while painting).
I painted them using this tutorial as inspiration;

http://www.miniwargaming.com/content/lbY3zKVf3AOY

I can also recommend using pillow-stuffing glued to flickering tea-lights, or getting some flickering LEDs from Zinge.

http://zinge.co.uk/index.php?route=product/category&path=57



Explosion/smoke made by GW using flock (scroll down a tiny bit);

http://www.games-workshop.com/gws/content/article.jsp?categoryId=900005&pIndex=3&aId=4800010a&multiPageMode=true&start=4



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