There are tutorials online for CC Paricle World. Heat Haze can be used as car exhaust.
Andrew Kramer also has a tutorial for Particuar at Video Copilot - where there are many useful tutorials.
I am a proponent of using stock footage for smoke. It's very hard (and not really necessary most of the time) to make realistic smoke with particle effects.
There's a link to a free chapter about smoke and such from Mark Christiansen here.
Easier to shoot it. More fun, too.
Black background, couple of good lights, some smoke powder in a pan or any of dozens of smoke-producing articles.
Try to visualize where you want the smoke to be on the car and how large or small the smoke movie needs to be. Expose carefully. Light it off and have some fun.
Use the SCREEN compositing mode )or a linear keyer) to layer up the smoke on your shot, use motion tracking if necessary.