Nikon D5000 fog/mist settings?

I'm an amateur photographer and I can't figure out the proper settings for a show at Seaworld. I've never worked with fog and this type of lighting at the same time before, and I couldn't figure it out. Does anyone know some settings that might work? Here is a link to some of the pictures so you can see what I'm talking about:

There are NO fog/mist settings since you just have to use your cameras meter to get the correct exposure under any lighting conditions.

What you are shooting is no different than shooting any stage lighting.

Set your cameras white balance to incandescent and the ISO to at least 1600 ISO, higher if necessary. Using high ISO's will allow you to use higher shutter speeds to help prevent blur caused by camera movement.