A lot of folks who've seen these shots have asked how they were done so I'll attempt to explain...
There's probably a few variations on the theme but firstly here's what I used to do it
1. Canon 100mm macro lens (probably don't need a 'macro' lens as I found the best results were obtained from about 60 cm's ish)
2. What really makes a difference is an off camera flash. I was lucky enough to get a 580EX as a present with an off camera flash cord. This is important because with standard front facing flashes you run the risk of lighting up the background. This makes it harder to isolate the smoke form the background later in photoshop if it hasn't stayed completely black - you with me? If you have remote release for the flash gun even better - no cables!
3. A dark background. I initally used a black jumper but anything black is good. Preferably of a good size too so you have a bit of freedom of movement with the camera whilst still keeping the background in the frame.
4. Incense sticks and holder. Simple!
5. Tripod for the camera.
Basically set your background up and put your incense sticks about 1or more metres in front so the background will be blurred.
Set the camera up about 60cm away from the incense sticks. Pre focus the camera and use an aperture of f8 - f14 so you get a decent DOF. Experiment here.
Check the viewfinder for position making sure it's filled with black backdrop.
Set the flash ready. Vary the angles of flash if you can - I found a 45 degree angle to the smoke pointing 45 degrees up is ok. With the 580EX on 1/4 power about 6 inch distance is good for even light. Just experiment with this. If like me you just have a flash on the stand and no tripod an assistant can be handy to hold the flash.
Light the incense sticks, wait for pretty patterns and shoot away!
The best way I found of getting plenty of swirls is using two incense sticks burning simultaneously. Have the burning tips near each other and one will induce turbulence in the other stream. Otherwise with one stick burning you wait an age for anything interesting.
Download photos and tinker till your little heart's content in photoshop or whatever you use!