Volumetric fog is one of those magical things in 3D that I awestruck by when I first encountered it. I naturally wanted to learn how to use it with my own hands when I first started learning 3D art.
Showing how to set up the volume fog material. I show it in progressive steps so you can make it as simple or complex as you want.
The material node graph in Unreal Engine is fun to play around with. It can be overwhelming at first but if you get used it, it feels a bit like doing drawing with maths and textures in a quasi lego kind of way.
After setting up the volume fog material, all the different parameters - like how big the cloudy bits are, how dense the fog is etc - can be controlled via the material instance.
However for better workflow and usability, setting up a blueprint actor is much more practical and better for performance. The second half of the tutorial shows how to set up the blueprint actor.
Similar principle can be applied in Unreal Engine to create blueprint actors that can aid you in building a level.