You can also view previously answered questions in the HSW Question Archive . I would like to have one for a Halloween party. The basic mechanism is simple - the juice is heated to create smoke. When you overheat oil on the stove and create a lot of smoke, you are doing approximately the same thing.
Cooking oil has a tendency to get gummy and smell bad, however.
Fog machines therefore use glycerin or glycol mixed with water. One thing that is not clear is whether this fog has any side effects on people's lungs. It seems like it is a problem for asthmatics, but nothing has been proven conclusively for the general population. When you place dry ice in hot water it creates a dense fog that clings to the floor. This fog contains carbon dioxide and water vapor, so it is completely harmless.