I just made a few tests to try and create the effect. I've come up with two methods, there are probably more :)

1. Make a flat plane to be the exaust object and use a mixed material, 100 pct. transparent with very subtle refraction values (1.0001 and 0.9999), no shadows, hightlights etc. and a marble-type distribution.
2. A cone or cylinder with mixed materials, again 100 pct. transparent - material 1 with very little blurred transparency, material 2 with somewhat more blur. Blurred transparencies look a bit like frosted glass, but could be good enough.

For method 1, a cone etc. will most likely create visible edges due to the refraction.

It may be possible to create the effect with layered materials - those are considered more fancy, but also more difficult to control :)

The screendump shows three flat planes with subtle refraction values - note how the refraction is somewhat multiplied where the planes overlap.
Lars "bigbraader"