I know the modern Lionel smoke unit costs around $12 at any Lionel repair shop. There'd probably be enough room inside a Commodore Vanderbilt to add one. I'm assuming, of course, that you don't have any objections to putting Lionel parts in your Marx...
Since I have a Vanderbilt without a motor, and I have a 666 with a bad boiler, I've thought about trying to put a 666 motor (smoker and all) in a Vandy, but haven't just yet. I think people have done it before though.