We use dry ice to create "smoke" filled bubbles and when you put on cotton gloves you can hold these in the palms of your hands. The exciting touchable bubbles vanish with a puff of "smoke".
When it melts dry ice does not turn to water like the ice we all know; it gets its name because it sublimes straight to a gas.
The "smoke" in these bubbles is simply carbon dioxide and water vapour. It is completely harmless and will not set off fire alarms.
A Volcano bubble
A "Smoke" bubble to hold