Also heard in the Pogues song "Boat Train." At least, that's what I always thought he meant, though I suppose it could have meant "I headed (out for a) smoke." Who can tell what these young whippersnappers say in their rock and roll tunes, these days.
"The Smoke" was a local pre-1900's nickname for London heard around Feltham, now a borough of Hounslow in Greater London. As reported in the periodical "The Countryman", (Vol LIII, no.4, Winter 1956), "city blokes" who lived there would board the train each a.m. and ride it into "The Smoke".