The blue smoke is what you want for cooking, not a billowing white. Cold smoke will generally be a little thicker, but should dissipate quickly.
Blue smoke should almost be invisible, basically see the heat from the exhaust and maybe a wisp of smoke here and there.
For cheese you have to remember to let it air out, and it won't be done for around two weeks. Cold smoke for around two hours, then remove it from the smoker. 24 hours wrapped in pink butcher paper in the fridge. Vacuum bag it and in around 10 days it will be ready. Also, use a mellow wood for cheese, or eggs, they both take on smoke well. For either I like pecan, but I am going to try pecan and cherry mix next time. I have found apple smoke to try to be bitter for cheese or eggs. That's why I like pecan.
For meats, make sure that the thick white smoke is at a minimum. I preheat my wood with the top of my fire box before adding it. It helps it light up faster and keeps the thick smoke down. I will still get a minute or two here and there, but when it takes 10+ hours that isn't anything. Also, use mellower wood to start and figure out how much is needed. Especially mesquite, it can get too strong fast. I usually only use mesquite for a quick grill, or use just a little for a long smoke. Oh, make sure mesquite is well seasoned, if it has moisture at all, it will make anything bitter. This is for a stick burner, for the pellet grills and smokers, I am getting kind of partial to the competition blends of pellets. Seems to have a good balance of flavor.