I just got some smokey ponies from a flea market, so I plan on trying the baking soda technique. There was a thread a few days ago that recommended putting a layer of baking soda at the bottom of some kind of container and then laying a paper towel over it to protect the pony from discoloration. Stand the pony on top and leave closed inside for a few days.
I'm going to try it tonight after I go get some baking soda. It sounds simple enough. The only other time I've ever used a de-stinking technique was on a smokey Sea Pony. I stuffed her full of dryer sheets and wrapped her up in some, then left her in a plastic bag for two days. When I took her out, she stank of smoke AND too-strong dryer sheet. So I'm not particularly keen on the dryer sheet method.