Not entirely sure about this translating into UE4 (I don’t think there is anything that should prohibit it from working.) but this is a nice set up that someone created in UDK.
https://www.youtube.com/watch?v=JO2hojkv1fc&list=PLB34C2DDCFBBD8699&index=74
and
https://www.youtube.com/watch?v=KdaIBKl2DY0
I also saw in the UE4 example content if you load up the map labeled Effects you can see at the end of the hall there is an example 1.8 Particle Shadow Casting that has a nice example of a volume like cloud. (I think it is very similar to the creation of the video examples that I found.)
Good luck with your test, hope this helps! 
