Its really rare, but I seen it happen a few times already. But hey I love seeing more people picking up enemy nades and killing them with it. I think those are more fun to watch.
One of the funniest things I've seen was IRS kill someone with a smoke grenade in CS:S who had (I need money) at the end of their name, I think he has it in his signature.
I never killed anyone by a smoke grenade but I killed someone by a rifle grenade hitting them and then 3 seconds later it blew up and killed someone else
Smoke nade kills are possible first you have to throw the smoke nade and hit someone with low health like below 5 hit points and you have to hit them with the nade