Many movies depict children and minors (and non smoking actors) actively smoking a cigarette and blowing actual smoke. How is that done?
Actually the film makers claim that the cigarettes used by the minors are tobacco-free cigarettes or nicotine-free cigarettes. They are commonly called herbal cigarette.
According to wikipedia,
Herbal cigarettes are also used in acting scenes by performers who are non-smokers, or -- as is becoming increasingly common -- where anti-smoking legislation prohibits the use of tobacco in public spaces.Herbal cigarettes are not viewed as physically addictive, as they do not contain addictive substances.
One of the more famous scenes of a young actress smoking is Tatum O'Neal in Paper Moon:
This article quotes her as saying:
"Peter [Bogdanovich, the director] wanted me to smoke in the movie, but the cigarettes were filled with lettuce, not tabacco. They glued sandpaper to my fingers so I could strike a match one-handed."
It also has discussions of the following other young actresses:
- Natalie Portman in Leon: The Professional
- Thora Birch in Now and Then
- Dakota Fanning in Hounddog
- Kiernan Shipka on Mad Men
- AnnaSophia Robb in Sleepwalking
As mentioned in another answer, they almost all mention some type of herbal cigarettes.