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1) Impure fuel. You can use PURE mineral spirits. Much less expensive than lamp oil, but VERY difficult (around here at least) to find PURE mineral spirits. "Paint thinner" -labelled mineral spirits won't work, smoke everywhere (lets not go into how I know that). You can also do as Francois suggested... use the BEST, purest, "smokeless" lamp oil you can get.
2) Flame too high. At a certain point, (height) Any flame on ANY fuel is going to put out a bunch of smoke (apparently, a small lamp flame is more efficient, not to mention just plain uses less fuel). To high a flame can also crack your glass chimney (yup, had to learn THAT one for myself, too).
In addition, trimming the wick really does work. Frankly, I never get around to it unless I am REALLY looking for "something to do". However, there are several good reasons our ancestors trimmed the wicks on their lamps and candles. Primary among them are efficiency (less usage for the same light) and reducing smoke.
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