It's on the back of the engine. If you're looking at the rear and can see the detail that looks like the door where coal would be added to he boiler, the switch is to the left of the door. I've attached a link to the manual online and the graphic on page 13 shows where the switch is located but not all the detail that exists on the actual train. http://www.lionel.com/media/servicedocuments/73-1960-250.pdf
I can't find the switch either, the instruction sheet states the smoke mechanism will burn out if it is not kept full. Maybe the engine has been improved and no longer requires smoke maintenance. I read where there were improvements made on the engine.
Hi there, the smoke on/off switch is on the locomotive. Inside where the Engineers sits (I don't know what you call that part). There are 2 switch, one for the Smoke and the other for the Reverse Direction. Hope that helps.