It's all to do with backlight, just like in stage effects. Uplighting or sidelighting from a concealed light, such as a slave/remote flash helps, even a weak one. If not shooting with flash then a torch can work, you just get someone to wave it around vigorously (strobe-like) as you shoot - but it's hit-and-miss.
If you are shooting digital there's unlimited scope to experiment. On film its more tricky and I'd play around with a digicam first to observe the effect, before committing to film.
Also, the more joss sticks you have the more smoke you get (ie cheat!).