Trickshop.com is offering a couple of free (pdf) booklets from the 1940's:
Modern Levitations
Celebrated Cigarettes
The booklets are quaint and a blast from the past, but they also explain just how those tricks were done.
Link is:
http://www.trickshop.com/order_form.html#new
You do need to give your name and address. Don't click on paypal or any other payment method.
Trickshop.com offers freebies like these from time to time. If you're interested in this sort of stuff, it's worthwhile getting on their email list.