I checked again the possibility of using dry ice with a friend of mine who is a chemist and he adviced me to use dry ice to create water smoke. It will be safe as long as you manipulate it using gloves and not with your bare hands. Also the ice must be mixed water only using open containers, never seal them!
I believe that using dry ice is a solution for creating a light head dress and will be far cheapier than buy mechanical devices.
The materials we need would be:
-An open container that fits inside the head dress
-Dry ice (we can get it for 1 dollar a pound on this web page: http://www.adryice.com/index_files/page0005.htm
I have found a nice video on youtube of people using dry ice in an open cooler: