The smoke can be harmful, but not usually because of the lead. Lead doesn't vaporize until its temperature is in excess of about 800 Celsius, well above the typical temperatures used when soldering.
Any health effects is primarily caused by the flux vaporizing, which is a potential carcinogen (I interpret this to mean that there is no proof that its carcinogenic, but it hasnt been specifically studied). Prolonged and repeated contact can cause skin irritation (dermatitis), or if you breath in enough of the vapour it can cause suffocation because the fumes are heavier than air, but more likely you would see other signs before you suffocated (ie, light headidness, shortness of breath, unconsciousness, etc...)
I should really think about setting up a fan or something.. but I usually just dont inhale when the plume of smoke is rising and I only do occasional soldering.