Moore smoked cigars in his first two films; after that, I can't recall him smoking at all. He had a cigarette case that turned into a microfilm viewer in TSWLM, and was getting ready to smoke one when Anya blew knockout gas in his face, but I don't remember him actually lighting up in any of his films between TSWLM and AVTAK.
He didn't, I don't think. Earlier today I was thinking he smoked in FYEO or Octopussy during a dinner scene with Kristatos or Magda but he just ate food in both films.