Fire up 3ds max and open the material editor. Select first empty material slot and name it “Smokey Material” or something similar, so you can easily recognize it in the material library. 

Click on the Diffuse map slot and select Noise.

Rename the newly added Noise map to “Diffuse Top”. Change the Noise Type to Turbulence and the following parameters to: Size: 20.0, Noise Threshold: High: 0.6, Levels: 10.0.

Click on the “Diffuse Top” Color #1 map slot and choose Noise. Name it “Diffuse Color 1”. Set the Noise Type to Fractal, Size to 25.0, Levels to 10.0, Color #1 to white and Color #2 to dark gray.

Now, go back to “Diffuse Top” material and click on the Color #2 map slot. Select Noise again. Noise Type: Fractal; Size: 25.0; Levels: 10.0; Color #1: black; Color#2: white.

Note: I used these colors to get a smoke like look, but if you want something different be sure to change the colors in “Diffuse Color 1” and “Diffuse Color 2”.

Next we have to set-up the Opacity map. So, click on the Opacity map slot and choose Falloff.

Rename the Falloff map to “Opacity Top”. Next, click on the button with 2 little arrows just right of map slots. That will swap Front and Side colors.

Click on the top empty map slot and choose Noise.

Name it “Opacity Color 1”. Set the Noise Type to Turbulence, Size to 20.0, Noise Threshold: High to 0.3 and Levels to 10.0. Change the Color #1 to R: 102 G:102 B:102 and Color #2 to black.

Now, get back to the top of Smokey Material. Scroll down to Maps rollout and click and drag the Opacity map to the Bump map slot. When Copy (Instance) Map window appears choose Copy and click ok.

Hierarchy of the finished material can be seen on the picture bellow:

Now we need to use the finished material, so go to Create panel, select Particle systems and make a PCloud object.

Note: This material can be used with other types of particle systems.

Select the newly created PCloud and go to the Modify panel. Set the particle size to 40 and change the Standard Particles type to Sphere. In the Particle Quantity options select Use Total and type in 200.

Note: Particle Quantity depends on the size of the object, type of particle systems, scene requirements, etc. So it doesn’t always have to be 200. Experiment with different quantities and find one that suits your needs.

Note: For the cloud like look particle size should be set to around half the size of the diffuse map size. If you increase the particle size value, look will be grainier.

After we hit render, we should get something like this:

Note: If you didn’t get anything near the picture before, try changing the size of the PCloud.

Here are some renders with different particle sizes and material colors:

Cloud like

Nebulae like