Davis is a reformed smoker who campaigns to get others to stop and had a brother who died of lung cancer.
He got his co-stars, including David Duchovny and Gillian Anderson, to sign X-Files memorabilia for the Cure Is Out There Auction.
There are 10 items up for grabs through on-line auctioneer e-Bay over the next 20 days.
They include a limited edition X-Files comic book, a set of signed collector cards, a signed photo of Duchovny and an autographed script.
What those cigarettes Davis smokes on the show you ask? They're herbal, and Davis says he hardly inhales.