To warm an old thread up:
Please correct me if I'm wrong... I remember this was possible in XCOM: Enemy Unknown by 'pulling the grenades safety pin' and then placing it on the ground in the inventory menu. Would be a 'nice to have' feature in UFO:AI, but not a necessity.
Yesterday I used smokes for the first time (playing UFO:AI for a week now) after I read how useful they are. Well, they surprisingly are! I don't like the 'pop smoke, scout out, scout in, fire blindly through the smoke at spotted enemies' tactics. But for creating additional cover during critical situations, they are a great win!