Okay, the basic idea is to use a black background, mainly because if you use a white background and flash the mist, you won't see it because the flash will blow-out the background and the mist will get lost in the white. Shooting on black and aiming the flash at the mist lets you light just the mist, and you can then invert the image in processing to a white background. Of course you'll have to play around with the processing to get the mist to look the way you want it, but here's a basic result...
IMAGE LINK: http://www.flickr.com/photos/katodog/6768721673/
Cologne Merge Edit
by
Ed Durbin (Katodog)
, on Flickr
I shot a spray bottle against a black background, and had my wife spray it while I shot. Took two of the resulting images and worked with them, then merged them for a bigger puff of mist. Working with a white background I re-sized the mist to fit the image, copied it, then pasted it as a new layer onto the scene. Moved the mist into position, changed the layer properties to "Multiply", and that's that.
A quick edit, but it'll give you the general idea. All you really need is a shot of some mist, layer it, change to "Multiply" and you're done. You can try shooting the mist against a background other than black, but you'll wind up either figuring out it won't work and switching to black, or you'll be doing a crapload of processing to get the shot to merge with the scene without looking goofy.
As for shooting the mist on white, trust me, after shooting water drops on a white background I know that all you're gonna do is lose a lot of the body of the mist into the white background, you won't see it as well as if you shoot on black.