I find that blending mediums works best. Usually, I outline my eye with liquid eyeliner, then I shape around that with pencil eyeliner so I can smudge it a little. Then, I dust the tops of my lids with a little black eyeshadow.
Also, I forgot to mention: the best twist on the smoke-y eye is to do an all-black lid, sprinkled with gold flakes. It's really beautiful and sexy, and it really pops the eye open.