Press the "X" key, then select the hex you want to put the smoke in. Infantry can only toss smoke into an adjacent hex, but guns can fire smoke out to their max range, though the accuracy of where it lands will go down, i.e. it may land in a different hex than the one you aimed at.
Oft asked question - 'How do I add N smoke rounds to my unit, like I can in the Scenario Editor?' - the answer is that the number of smoke rounds given out to a unit is determined in the unit creation code in the game code, based on the unit class and warhead, as well as battle type (more smoke ammo tends to be given to the assaulter). There is no data field for smoke rounds - the field you edit in the Scenario Editor is in game data (like the leader name) , not OB data.