As reported to the FAA. Reports are unverified, and codes are left as the FAA publishes them.
What was found
THE ENGINE AIR FILTER IS A OIL COATED AIR FILTER. A NEW ENG AIR FILTER WAS OILED AND INSTALLED PREVIOUSLY THAT DAY. THE ACFT RECEIVED A REQUEST AND TOOK OFF. THE PILOT SELECTED HEAT AND NOTICED SMOKE COMING OUT THE HEAT AND DEFROST VENTS. THEY TURNED AROUND AND RETURNED TO BASE. THE EXCESS OIL WAS CLEANED OUT OF THE ENGINE AIR FILTER, RUN PERFORMED AND NO FURTHER SMOKE NOTICED.