Yes, of course you can make your own smoke bomb, but not everyone keeps potassium nitrate around the house, so you may want to visit a freworks store to get smoke bombs. They come in various shapes and sizes. The little smoke balls produce brightly colored smoke, but they only last a few seconds.
Bigger smoke balls will last a bit longer (about 30 seconds). Smoke grenades and large smoke bombs can last for a few minutes. Colored smoke is produced by heating and dispersing organic dye into the air, not usually because the ingredients actually burn a different color, so if you make your own colored smoke bombs, the key to success is forcing the colorants through an aperture.