In essence, these markers are relatively simple to create and use. On the other hand, I've also discovered that they can be a huge pain to make and execute. The picture below shows several from my collection along with one of my Alpha Legion space marines to give a sense of the scale of the markers.
To make them, I have used a small LED light from a high street supermarket (in this case, Tesco in the United Kingdom sells them in packs of six). These LED lights have a switch at their base and a small little light in the shape of a flame coming out of the top of them. Hence when they are switched on in the final product, they flicker in the same manner that a real fire might do.
The smoke on the top is made from soft toy filling. This is available at many department stores (look out for the knitting section: it is usually tucked away somewhere near all the needlework hobby area).
Assembling the markers is rather simple. Using some glue, just dab on a generous amount on to the surface of the LED itself. Grab a good amount of the soft toy filling material and stick it to the top. Job done really.
The major issue with this is the sheer amount of glue that ends up on your fingers and the fibres from the toy filling that sticks to it. So be aware that you are going to have to give your finger tips some serious scrubbing after making these if you do so without any gloves on (like I tend to do).
For extra marks, I've given the toy filling a bit of a twist before gluing it in to place. This gives the sense of some winds fanning the fire and the smoke up in to the air.
As the last step, I apply a very gentle and limited amount of black spray paint to the smoke. Aiming the spray at the base of the fire ensures that the tip remains almost white and gives it a more authentic look and feel.
In game, these double up as both regular scenery, and as markers for where vehicles may have met their demise -- literally a smoking wreck marker. Gritty and grim, they really at some atmosphere to a tabletop. Some rules might also be necessary to use if they are part of the scenery. We favour having them as blocking the line of sight (you cannot see through the thick smoke) and you cannot approach within 1 inch of the base of the fire (it is literally too hot or too toxic, or similar). I can attest that they make battles more memorable and make the scenery much better to look at. Particularly at tournament level displays.