When I first cranked mine after I rebuilt, I got smoke coming off of my headers. Scaredt he piss outta me. Then Ireally it was just oil/crap that had accumulated there. unless you are a super duper anal guy about being clean and tidy, inevitably there's oil that's run down the head, or assembly lube as mentioned, at the very least (esp if you have headers) oil from your hands or leftover greae that'll be on the manifold or head just from handling it.
The big quetion is - is it still doing it after running awhile.

With 200+ Billion electrical parts, the world most complicated machine is inside your own skull.

Question Reality.
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'89 Rnr DLX "SR4.5", 32s w/ 5.29 locked f/r blah blah