weel, hacked… untill the developers (thanx guys) implements real volumetric stuff here is how an old Blender trick (multiple planes tracking the camera) works in yafray:
Light is a SUN light, not a spot with halo 
Materials are (yabel)
http://www.selleri.org/Blender/buffer/cloudmat.jpg
http://www.selleri.org/Blender/buffer/cloudtex.jpg
or (yafray)
<texture name="CloudTrans2" type="clouds">
<depth value="5" />
<color1 r="0.700000" g="0.700000" b="0.700000" />
<color2 r="1.000000" g="1.000000" b="1.000000" />
</texture>
<shader type = "generic" name = "Plane.001.mat">
<attributes>
<color r="0.100000" g="0.100000" b="0.100000" />
<transmitted r="0.980000" g="0.980000" b="0.980000" />
<hard value = "25.000000"/>
<min_refle value = "0.000000"/>
<fast_fresnel value = "off"/>
</attributes>
<modulator texname="CloudTrans2" mode="mul" size="1.000000"
sizex="1.000000" sizey="1.000000" sizez="1.000000" >
<color value="1.000000" />
<transmission value="1.000000" />
</modulator>
</shader>
Of course I think much better can be done by careful parameter tuning 
comments?
Stefano[/img]