mr2guy hit it on the money why there's a cough. Smoking irritates the cillia, they cause mucus to get the outside toxins out, and we cough to get the crap filled mucus out of our system. Be THANKFUL that you have a cough, it means your body is working lol. But since i started smoking, i've had constant mucus in the back of my throat and if i don't constantly hack it up, it will build up and FORCE me to cough.
as far as smoking vs physical activity, maybe it just affects everyone different. Some members here say that when they DON'T smoke they are much more apt to perform physical activity... but some members, myself included, don't notice any decrease. Bodies are unique, it happens lol.
Photolinger: Maybe you could try doing some lightweight strength training? I'm very overweight and am in the process of getting in shape and i can NOT run that much to get in shape cause 1. i physically can not do it, 2. too much running could destroy the joints in my legs cause of the stresses.
Having 1lb of LEAN muslce ((not heavy lifting muscle)) will burn 500 calories per day... so maybe hit some low weight strength training to burn the calories your goin for? It might even be less detrimental to your asthma. Just some food for thought