I've applied a volumetric material to a voxel sculpt in 3D Coat and recorded the process for anybody to check it.
I'll upload the next creature in couple weeks. Wait to see it! :)
Photo pack used - https://www.fotoref.com/products/foggy-trees
Volumetric Keyshot Shader and Voxel 3D Coat Sculpt - Mist Creatures - Ghost