They can 'insist on' smoking, or 'persist with' smoking, but not 'persist on'. Certainly breathing in smoke can have it's disadvantages, but a better word there may be 'dangers' or 'risks' (to their health). So you might say "Most of the smokers persist with smoking, even though they know the dangers of it."

Thanks Alex.

I would say... Most smokers continue to insist on smoking, even though they know the disadvantages of it.