Customizing the exhaled smoke particles

Select タバコ (さたにあ式タバコ) (Cigarette (Satania Tabako)) → パーティクル (Particles) → 口 (Mouth) → 吐く煙 (Exhaled smoke).

You'll want to see what it looks like while editing, so turn it on.

I won't go into the details of the particle system here, but if you want to edit the material, change the Material under Renderer.

When you're done editing, turn the exhaled smoke back off and that's it.

(If you don't, the smoke will show up for a split second when you switch avatars or reset your avatar, so watch out.)