Take a look here: http://www.scottkelby.com/blog/2009/archives/4108
Here’s the part I’m sure you were waiting for, the fog. The secret is…….READY? CLOUDS!!! It’s quite simple really and it makes sense because clouds and fog are one and the same. All I did was ask Doug for a shot of clouds and separated it from its blue background and desaturated it. To do this, get a photo of clouds and go to your alpha channels, go through each channel to see which one has more info or contrast depending on your preference, duplicate the channel and get enough contrast from either levels or curves to make a selection from it. Once the selection is there, then it is easy to mask out and ready to be desaturated.
I now have clouds ready to be imported into the S.W.A.T. file and like I said earlier, think of it as a collage. Once It’s in there, I made tweaks to the layer mode and opacity. I then duplicated the layer a few times and still tweaked each new layer, moving them, masking out certain areas, and scaling and stretching. Some layers were on normal with a lowered opacity, some layers went behind to an overlay, some are even on a saturation mode. There is no right or wrong to this so just play around and see what you come up with.