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More than likely it's either leaking at the marmon clamp that holds the up-pipe to the turbo charger (had the turbo out lately?) or one of the bellowes has cracked. Depends on what you want to do, you can replace the up-pipe with the original bellow design or go with a straight up-pipe. Seems like Sinster or some like that offered a straight pipe without the bellows...but I'll be danged I can't seem to find that link currently.
What color/smell does the puff have to it? Could be a couple of things from fuel to oil.
As Tyler already pointed out...could be coolant or fuel. I'd be willing to bet fuel, unburnt that is. One of the easiest things I'd do is check for codes to see if you've got a glowplug issue. Or since it's an '03...you could plug the block heater overnight and see if you get the same white puff of smoke.