Atemporal risk preferences, time preferences, and intertemporal risk preferences are central to economic explanations of addiction, but have received little attention in the experimental economic literature on substance use. We conduct an incentive-compatible experiment designed to elicit the atemporal risk preferences, time preferences, and intertemporal risk preferences of a sample of student (n = 145) and staff (n = 111) smokers, ex-smokers, and non-smokers at the University of Cape Town in 2016-2017. We estimate a structural model of intertemporal risk preferences jointly with a rank-dependent utility model of choice under atemporal risk and a quasi-hyperbolic model of time preferences. We find no substantive differences in atemporal risk preferences according to smoking status, smoking intensity, and smoking severity, but do find that time preferences have an economically significant association with smoking behaviour. Smokers discount at a far higher rate than non-smokers, and ex-smokers discount at a level between these groups. There is also a large, positive relationship between smoking intensity and discounting behaviour that has important implications for treatment. The intertemporal risk preferences of our sample exhibit significant heterogeneity and we find, contrary to the assumption employed by some economic models, that smokers do not exhibit intertemporal risk seeking behaviour. Instead, our sample is characterised by high levels of intertemporal risk aversion which varies by smoking intensity and smoking severity in men, but not in women.