On some vehicles there is a changeable filter as part of the a/c system It's kind of like a tiny furnace filter. I can tell when ours needs changing because it will start to smell moldy. The air blowing through the vents on me carries that smell with it right into my face. I would think the same would be true if the filter and system were filled with smoke smell. Just think of it this way -- if you bought a house from a smoker, you could paint and clean everything you can see, but about in the duct work and hvac? To really get it clean, you'd have to have duct cleaning service come out and also have your hvac professionally cleaned. Aside from looking into the vent filter, you might contact a company like Servicemaster and see if they sell anything you could try or even a janitorial supply. They sometimes have products that are stronger than what you can get at a place like Target. Good luck!
Yes! Don't forget to change the cabin air filter if you can. I have a Honda Pilot and found a great website with step-by-step do-it-yourself instructions.