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I suppose it depends on the smoke, really.
Black smoke is unburnt fuel and while you could go see a chip manufacturer to get things like injector timing and duration adjusted to lean it up, you could do simpler stuff like removing any restrictions in airflow in the intake - it's amazing how many people forget to clean or replace their air cleaner.
If it's blue smoke, you're burning oil. Remove the dipstick and check the oil. Is it darker than it should be? Does it look smokey (blackish)? If the last oil change wasn't that long ago, it's possible you've got a blow-by problem and some oil vapour is heading up the PCV (Positive Crankcase Ventilation) and being fed back into the combustion chamber. You might consider an oil catch can (regardless of the state of the oil).
If the smoke is grey/white, you may have a sticky injector or two. While Krankin will get cranky with me for suggesting it, you could put a bottle of diesel-appropriate injector cleaner in the tank, or 300ml of JASO-FC rated 2-stroke oil. Using the oil will also dampen the noise in the injectors by a small degree.