Stop-Smoking Mentalism Vol. 1 - Crowell Estate

Effect: A spectator is asked to participate in an experiment of stop-smoking hypnosis. She pretends to smoke an imaginary cigarette, and feels as if a real one was being used: she vividly visualizes its gray smoke, smells and tastes the tobacco, feels like coughing, etc... She then brings this invisible cigarette closer to her hand, causing a noticeable warming sensation; and when she finally decides to stub it out on her hand, she feels a sharp burn!

You can present the effect under any conditions: it seems completely impromptu and gimmickless, with the performer away at all times.