Sophia has been a heavy, yet glamourous smoker for years.
Her first experience with a cigarette was during a screen test at Carlo Ponti's studio in 1951, but the beginning of her 25-year addiction to smoking really starts in 1954.  The first documented proof occurs at the Cannes Festival in April 1954. She might have started before, however, since she appears smoking in a nude scene from Lebbra bianca as well as in another scene in La tratta delle bianche.

"Once I was ready, it took an enormous effort on my part to force myself to go back on that set wearing that bathing suit, to face the camera. The director handed me a cigarette and told me that the test would consist of my lighting the cigarette and then walking back and forth in front of the camera while smoking. A battery of blinding lights was turned on. I had never before in my life held a cigarette in my hand, much less smoked one."
Sophia Loren: LIving and Loving, A.E. Hotchner.

She quit several times, namely during her two pregnancies.

"You know, I gave up smoking each time I was pregnant."
Forever Sophia, Alan Levy.

"I used to smoke but I cut it out when I was pregnant. The doctor said it was bad for the child. Yes, I smoked a lot, 25 to 30 cigarettes a day. Since then I have thought it would be silly to start again so I haven't smoked since."
The Cleveland Free Press, 23 oct 1970

Sophia is not always consistent when she talks about her habit and has given different versions over the years.

"I started when I was 23. Then 10 years ago, I stopped completely because I thought it wasn't good for me, Now when people ask me if I smoke, I can't even remember doing so. I'm completely cured and I did it with willpower. I looked at the last cigarette and said 'I'm not going to smoke you and threw it in the toilet."
Sunday Magazine, mid-1990's

Alan Levy confirms that she was still smoking in 1978 during an interview on the set of Brass Target.

She lit a Muratti Ambassador cigarette, which took me by surprise. While I'd seen pictures (particularly some silhouettes by Irving Penn of Sophia the Smoker) and read her complaints that Peter O'Toole, while making La Mancha, corrupted her after she'd given up smoking ("Don't be chicken. Take one."), I had never seen her light up in the eight years I'd known her. I asked her: "Is that an after-effect of the fire?"

"No," she said. "It comes and it goes. But it has nothing to do with anxiety. I do it between movies and, when I go back to work, I can stop right away. I never smoke more than eight or nine a day."
She lit a cigarette, but told me: "I'm smoking less than before. I really mean to give it up."
"What's stopping you from stopping? The movie?"
"There's always an alibi. But the truth is: I don't have the will to stop." She was hoping MGM would let her take a little time off from Brass Target to fIy to California for the Academy Awards in April.
Forever Sophia, Alan Levy.

Sophia definitely quit smoking after 1985. There is photographic evidence (seen with ex classmate Rosetta d'Isanto) that she was still smoking during her visit to Pozzuoli in February 1985.

Most pictures of Sophia smoking are taken at airports and film festivals, on movie sets and, in some occasions, during a studio photo shoot. Many photographers produced some of the most glamourous shots ever taken of a woman smoking.
On the list are:
Jack Cardiff (studio session)
Sandford Roth (Desire set)
Irving Penn (studio session)
De Blasi (Venice Film Festival)
Elliott Erwitt (Five Miles to Midnight)
Elio Sorci (Fiumicino airport, Rome)
Bert Stern (studio session)
Chester Maydole (Academy Awards)
Terence Donovan (The Fall of the Roman Empire)
Zinn Arthur (Ieri oggi domani)
Tazio Secchiaroli (Matrimonio all'italiana)
George Freston (Countess Press Conference)

The most memorable moment of Sophia smoking features heart surgeon Christiaan Barnard lighting up Sophia at her villa in 1968.