I used kapok from on our dogs toys after he burst it. Much cheapness and no sick dog!
Grey in colour already, it works well as is for puff of gun smoke. Stuck to a base and tooted with a shot of black spray paint it works ok for, well, black smoke!
Flames of War used to do a multi coloured pack of smoke and flame which I am sure was made up of the same stuff. There was black orange and grey in it. But don't know how if was made as it was too expensive at the end of the day!
A tuft of steel wool might look better though as it takes the paint better and you can brush on yellow,red etc. the columns of black smoke and explosions seen in some pics on here and in the mags are made from Clump Foliage on wire frames painted to look like a burst.
For our 1/3000 naval games we use teased cotton bud tips dipped in PVA... I just thought...something similar might look good for large calibre MG/AA rounds in 28mm