Hi,
There is a difference between rendering, which you ask for first, and then jump down to producing the effects, they are 2 entirely different subjects.
1 is relevant for Arnold, the other is a production related question which is not related to Arnold at all.
Rendering smoke is very easy with Arnold, you need only a volume material and some channel data, like denisty and you are good to go.
How you fabricate the field data is up to you, you could simulate a smoke in Houdini and bring it in, or use a 3rd party aero solver.
At a point, we will have an areo solver in max directly but that is not around the corner.
If you work with stills or calm volumes, like fog, you can also use the volume material on a large box around your scene and work with noises in the field, for this you need to simulate nothing, its all done shade side.
Else go with Open VDB file format and stream a sequence of voxel data to Arnold, using the VDB loader in the creation panel / Arnold.
>smoke, steam, or fog
Those are all very different effects. Could you explain or upload an image of the exact effect that you want so that we can help you better? Meanwhile, information on fog and atmosphere_volume can be found here. Information about volumes can be found here and here.