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Definately go with the bubbles. I use them, a small kids container in pocket. I have used all the other tricks, string, lighter, etc, and realise now just how utterly wrong they are. Sure they show what the wind is doing at that point, but blow some bubbles and observe, you'll realise how badly you've been deceived.
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I use a party popper and see which way the streamers go take a big bag its great fun :)
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Seen a African guide the other day. He had ash from the fire in a sock. Just shake it a little as you go.
