I think that it would be a serious mistake to get rid of the mist until we figure out what it can be used for. Therefore I suggest we collect it into containers. I have designed a device that could be used to collect said mist. Here is how the prototype would look like, more or less:
How it works:
I would capture it like I'd capture gas in a chemical experiment. We'd need a big outer container, inside which there is a smaller, upside down glass cylinder. Both of these are filled with water.
The idea is to get the mist inside the inner glass container, where it "bubble us" to the top, displacing the water into the outer container. This is based on the assumption that the "mist" is lighter than water, but more dense than air (which is probably true, given that it hovers above ground).
Of course, the mist won't be getting into our container on its own, so the device has an elastic tube attached to it, that ends in a bulb pump (the kind you see on older blood pressure monitors, or maybe more relevant - gasoline hand pumps) and a funnel.
Pressing the pump creates a vacuum, which after releasing it will suck in whatever is inside the funnel. After which it goes straight into the inner glass cylinder through the tube.
The inner container even has a cap on it so that we can remove the mist when we need it for something (experiments, storing it in even larger containers, etc.). The cap can also be used to release any air accidentally sucked into the container - since it is lighter than the mist.
As you can see the device is quite large, it even has shoulder straps. This is because I want a single person to be able to collect a large amount of gas, since we don't know how much of it will show up and where.
Materials needed:
The outer and inner containers would be made of thick glass, kinda like a big alembic. I have previously thought about using some kind of metal but then we wouldn't be able to tell how much mist or water is inside. That said, the parts holding the inner container in place could be made out of metal, to make it more durable. Both glass and iron exist in MD, and there is precedent for various alembics and such in the lab. We just have to make bigger ones.
The shoulder straps could be made out of ropes that can be found on GWI or a similar material.
The funnel can be made out of metal too (iron ingots?).
The water needed to fill up the containers already exists in the realm.
The only part I'm not sure about is the tube and the pump, since both of them would need rubber which I have yet to see in the realm. But I'm sure we can figure something out.
How to collect the mist:
I'd pay a few people to use my device to collect mist until we figure out what it is and whether or not it is harmful. Like I mentioned before, the device is this big in order to enable few people to do a lot of work with it. But we can make it smaller later if necessary, maybe even a handheld version
If the mist proves to be harmful we will be forced to deal with it on the "government" level, which means paying for its collection won't be my problem anymore.
If it proves to be useful, people will collect it without incentive.
If it proves to be harmless and useless we can just leave it be.