Here is a video for a quick DIY fog machine that uses dry ice to produce fog.
alternatively, according to HowStuffWorks, a mixture of glyseral or glycol mixed with water and heated is what is traditionally used in fog machines. however – this requires a considerable amount of energy. Because I will be wearing this device, it might be hard to carry around an energy source that can produce enough heat to vaporize the mixture.
Here is a link to a portable, battery powered machine.