When you visit Big Smoke to start the mission the mood of CJ goes down a bit because of officer Tenpenny who is talking about watching you. Now Big Smoke says he knows something that might put you deeper into the game. Now drive to Unity Station.
When you arrive there the Vagos are already at the station and will jump on the train to get away. Get on the bike on your left and follow the train. (Tip: it works best to keep your bike on the right of the train not in front of it.) Position your bike at a good angle so Big Smoke can shoot at the Vagos. (Tip: make use of anything that can bring your bike at about the same height as the top of the train. (See screenshot))
(Tip: you can also shoot at them yourself.) If the Vagos get out of Los Santos (See screenshot) the mission will be failed.
If you get all the Vagos killed before they reach the bridge to San Fierro and you bring Big Smoke to his home the mission will be a success.