When I shoot in the fog, the histogram is my best friend. Like shooting in the snow, the tough thing is getting a well balanced shot, as opposed to a something overly gray.
When doing high key fog shots like this:
I aim to get things as white as possible without overexposing, so I check my histogram to see how far I've pushed my whites without completely blowing it out.
On darker subjects like this:
I wanted to keep my shadows fairly dark, while exposing the fog nicely. Unfortunately, it didn't work out so well, so I have to do some compensating for the area above the horizon after the fact. Still, I used the histogram to make sure my shadow detail was just right, and worried about the highlights after.
A lot of times, I find that getting the shot absolutely perfect in camera doesn't always work out so well, so just try to get it as close as you can and you will at least have something to work with.