The mozzie coils work in an enclosed space, though I'm not sure how much good the smoke will do you. However, they're no use whatsoever when you're walking, or doing something active, or even sitting out of an evening.
The only thing I've found to work, over a season of ghillying in the highlands, was a midge jacket. It's a wee bit warm in the sun, but it beats getting eaten alive by the midges (and the cleggs, and all the other bitey nasties).
I walked from Acharacle to Laga today, and for most of the walk there was a nice breeze, so the little buggers were hiding. It was only when I stopped for lunch by a wee Lochan that they came out en masse. I managed not to get eaten, but it wasn't a pleasant experience!