Never try to force that last bit of smoke down by swallowing it... that just makes you sick to your stomach, completely ruining the high unless you are some cracked out dude who likes that feeling.

Drink water while you smoke up if you cough a lot, that helps lubricate your throat so it won't get irritated, reducing the frequency of your coughs. Uhh, the only other thing I can think of is clean your smoking utensils as often as possible, the cleaner they are the less harsh the hit, allowing you to take those awesome massive hits without the coughing fits.