1 Make the basic shape.
2 Add some textures. I used one of the markmolinar brushes 2012 for this one.
3 Do the colours and the light. Remember that the light from the explosion affects the smoke next to it. For the particles flying around I used the spark brushes. (Looks funny but yeah xD)
4 For 3D look and details I just use the basic sai brush with this settings, but you can also stick to Photoshop if you want.
5 Aaand finally, even more details, sparks and edges in air perspective so it does not look artificial ))