These are made much the same way you would make an ordinary smoke marker, just pick appropriate colours. I pre-shaded the bottoms with black & shading-grey, but I don't think that improved the look very much.
Have a look at Timberline Six's Purple Smoke, he did a much better job of it than I did!
These are very easy to make! Have a look at the Fire & Smoke mini-tutorial over in the Special Projects section to find out what you need and how simple it is to make convincing and dramatic smoke and fire markers for your games.