Did it work right for you? It looks sort of goofy, since you can still see the projectile, but it works!

I have a way. Every other guide on the internet has failed me.
So I made it myself.
Using GCFScape, open the file in the /tf/ folder named "tf2_misc_dir.vpk"
Open the particles section of the file.
Extract the file "shellejection.pcf" to any folder.
Make a folder inside your /tf/custom/ folder, and name it "SmokeRemover".
Make a folder inside that new folder, and name it particles.
Shove 6 copies of the shellejection.pcf file into that folder.
Rename each copy to one of these names:
"classic_rocket_trail.pcf"
"drg_cowmangler.pcf"
"drg_cowmangler_dx80.pcf"
"rocketbackblast.pcf"
"rockettrail.pcf"
"rockettrail_dx80.pcf"
Then, play your game as normal! HOWEVER. This will only take effect on community servers without sv_pure set to 1.