The Ketores Is Lit in Private
Reb Moshe also smoked cigars, but never allowed anyone to see him do so. If someone knocked or appeared, he put out his cigar at once. When he was asked why no one could see him smoke, he replied that the ketores was lit and smoked privately.
Source: Practices of Reb Moshe, as passed down by Rav Moshe Chaim Steinberg