No. The paint should be smooth. It could be just the brand of paint you used- however, check for dust or dirt under the paint. That could cause the roughness if you didn't properly prep the surface. To get rid of the roughness, get some 2500 grit wet/dry sandpaper and a spray bottle. Spray the surface and get it damp. Then take you sandpaper and work the surface. You may take a bit of your smoke off, but it'll be smooth for you to clean up and then spray another layer on if you feel its necessary.
You may wish to clearcoat them afterwards. A clearcoat will help protect the lights and improve longetivity of the paint. It will also add a slight shine. That can smooth out the problem as well.