I've read somewhere that you can use cigarette ash for weathering. How is this done? Do I use a paintbrush and then dab things like engines and rolling stock? 

NO.
It's a bad Idea for a multitude of reasons. Just spend $4.00 on some weathering powders! They look more realistic, actually stick to the car/locomotive/structure you're weathering, and dry ultra flat.
Plus the smell alone wouldn't be pleasant to non-smokers.
Using stove (presumably actual wood NOT Chemlogs like firestarters) ash would be okay for stuff like the ash iles from a burnt-out building but NOT FOR WEATHERING. It doesn't look good, or stick well to your model.
Thirteen years for me. I quit in two weeks after smoning for twenty-three years (two and a half to three packs a day).Can't help you, I quite smoking 1 1/2 years agosign1
It doesn't matter if a guy in MR did that.. IT'S STILL A BAD IDEA.
It's not like MR (or any modeling magazine) is the modeling bible from which we must obey every tutorial or tip they put forth.
I agree with Ron, but only for wood burning locomotive ash pits, the cedar would (or wood,lol) be pleasant.
You've got some strong feelings about that Miles! I can see not rubbing ashes on equipment. the ash pit idea mentioned by Ron and Mountain Man seems like a good one as you've noted. Ashes to model ashes. Some folks grind up leaves to model leaves. Makes sense.
I tried suing charcoal dust from the bottom of my grill to make a country road because I liked the color. It turned out OK but was a mess to work with when trying to apply diluted glue solution. i don't recommend it.
Ralph