Ellisdon's, the joke manufacturers, used to sell the necessary kit for making exploding cigarettes.  Basically what looked like a single toy pistol cap, tightly rolled up.  You just pushed one into the end of a cigarette and waited for it to explode.  Not very powerful thankfully.  Much later I came across a different type.. Chinese manufacture I think..  Just a very tiny triangle of cardboard which was also pushed into the end of a cig.  There was an outbreak of them  when I workerd as a mechan