Heavy smoke is over fueling. It's not nessesaraly a GOOD thing, though it's not really bad either. Smoke equals unburnt fuel, and lower MPGs, and higher EGTs. Smoke is more of a novelty for 99% of diesel owners who have tuned their trucks. You WILL see the guys that have drag trucks or pulling trucks that smoke A LOT! Expecially on take-off. When the turbo gets spinning, the smoke with clear up. It's a great way to keep a tailgater at bay though!
For the average guy, sooting is fun, a little wasteful, but harmless.