Materials using the Volume domain describe Albedo, Emissive, and Extinction for a given point in space. Albedo is in the range [0-1], while Emissive and Extinction are world space densities with
any value greater than 0.
This is an example of the simplest Volume Material for a Particle System.
Volume materials currently only work on particles and positions inside of the particle radius will be valid, which is usually handled by a SphereMask.
Placing a single Particle System with the material causes a sphere of density to be added to the Volumetric Fog. The effect is fully three dimensional (3D) with no billboards involved.
Taking this approach a step further, you could use multiple spherical fog particles with noise from textures to limit fog to a certain area of your scene.
In this scene, the fog particles have populated these low-lying areas to create a localized fog effect that is shadowed using Voluemtric Fog.