The breath effect is caused by water vapor being added to the air by your lungs on a cold day. When your breath leaves your body and comes in contact with the cold air it's cooled. When the vapor is cooled, it condenses into tiny water droplets like fog. Under most circumstances, you will see this effect occur around temperatures below 45°F with a relative humidiy at about 50%. You could also add the effect in post, if the environment isn't conducive to what you're trying to achieve. (See: Particular/Video Copilot). It will need to be backlit to see the effect in the ideal environment. And, as others have stated, you will need a fogger and a focusable light to produce a "light shaft." http://www.videocopilot.net/tutorials/frosty_breath/