Body parts can be removed by merely wearing, let's say, a blue glove while you're standing in front of your blue backdrop. Blue tights worn on your legs will make them vanish as well. Or, how about attaching a round piece of blue cloth to your chest to give the illusion of a rocket just passing through you. Just give in to the fact that if you see an effect at the movies that appears too far-fetched to be true, first of all, it is. And second of all, it's probably Chroma key.
Imagination is the key here.
So go to the movies. Have some popcorn and get lost and escape from reality created by the movie masters. Then go home and perform the same effects yourself. Remember, if your foreground subject is in focus, the background theoretically cannot also be in focus. And also watch your shadows.