I thought I would post a screen shot of it or two in action, I have posted my method on the HM forum and will go into more detail here once I have finished documenting my engine.
Here is the link to the forum FOG Alas, if you are not a member of the Hazy Mind forum you will not be able to view it, but it costs you nothing to register.
Starting at the top of a mountain:
Moving down the mountain through the fog:
Get to the waters edge:
Then look back up the mountain:
So that's fog in XNA (Windows Only I am afraid) this also shows a bit of the terrain and water object, all yet to be documented here, if I ever get the time...