One of the simpler methods is to film the model in a smoke-filled room. With a LOT of smoke, and the right lighting, it works pretty well. Might be a bit tricky to do outside a studio, though, as it's most effective if you can have the camera in the same chamber and that usually means remote control. Try blue or green lights to get the right effect. With a small enough model you might be able to do it in an inverted aquarium, shooting through the glass.

J.T. McDaniel