here we first tend to express body language where we actually cover our nose with our hand or simply keeping our face out from the path of the smoke. Without a word, the smoker would realize that the one sitting beside or near him could be a non-smoker or allergic to smoke that would possibly bring him to extinguishing his smoke or finding a good place to smoke.
If the man insists and continue smoking however, we often tell him in a nice way to continue his smoking at the right smoking area.