Since an example can best explain it, we will go through all the steps required to make a basic smoke particle set up that spawns and rotates particles, fades in and out, and grows in size.
First of all, you need a cloud material. Create your own cloud texture or use mine. Right-click this image and save it somewhere. Preferably, convert it to BMP or TGA before you import it.
Add the texture to a Material and set it up as displayed in the following screenshot:
The DepthBiasedAlpha will make sure that it is a soft particle. When a particle sprite intersects with a piece of geometry, the DepthBiasedAlpha will fade-out the sprite along the edge.
The Vertex Color expression is really important. All materials that are used in particles must have a Vertex Color expression because it allows cascade to change the opacity and color of the particles. Without a Vertex Color, you cannot fade-out a particle, for example.
Once the material has been set up it can be applied...