If you want a steady shot like your example then it's fairly easy. You can either shoot the actors on chroma and then comp them in or shoot a clean plate (my choice- the set without actors). Either way you can isolate the actors with chroma keying or a difference key and then use Mesh Warp to distort them to disappear in a point. The trick will be to use the bezier handles on the mesh to create a smooth organic move. Things like blur (radial set on spin) and glow and maybe Trapcode Shine may add something to the effect.
As 'Tudor' already said: ''With a steady shot like this it is very easy to create this effect''.
1. Get a camcorder on a tripod
2. Make sure that you get a clean plate of your background
3. then just add smoke, a certain blur effect(s) and some distortion
4. to make the effect look a bit more realistic, create some
visual camera movement
i am bysy making a video-tutorial about this effect. as soon i`m finished i will send you a message for that