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Always smoke outside. Remove outerwear before smoking. Wear a hat and gloves. Smoke standing up, so the smell doesn't get into your pants or shoes.

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If you're worried about being caught, smoking indoors tends to make the smoke cling to you even worse, making it difficult to get the smoke smell off. Go outside where the air circulation is better and where the breeze can naturally carry the smoke away from you. It's even more effective if you can wait for cooler temperatures.  If it's windy, turn your back against the wind. This way the smoke will blow away from you, not back into your face, clothes and hair. Some smokers think that smoking in humid or rainy weather makes the smoke less clingy. If you can find cover to keep your cigarette dry, smoke while it's raining to see if it works. If you can, take any jacket or coat you're wearing off before smoking and keep in a separate room, or keep clear of the smell of the smoke. You'll be able to keep your first layer smelling smoke-free. You'll still carry the smell with you, but there's considerably less of your clothing that will smell like smoke. Alternatively, wear a smoking jacket. Choose a thick wool or leather jacket that you only use for smoking. When you smoke, you can have a whole outfit set aside just for smoking, so that you can change into and out of it and avoid getting caught. Cover all of your hair with a stocking cap and wear thin gloves. Take them off before you go inside and find someplace to stash them. Leaving them outside, maybe in a shed or your car, will let them air out far away from prying noses. It might sound stupid, but keeping the cigarette as far away from your body as possible will cut down considerably on the smell. Most of the stink doesn't come from the smoke you inhale and exhale but from the smoke from the burning cigarette. Keep it away from you by setting it in an ashtray or on a log when you're not smoking to cut down on the cling.