That technique was what I was going to suggest, so you are starting off on the right foot there.
Are you looking for correct 3d placementmatching of your container overtop your footage?
If so, check out the tuts and docs for Maya live to track the guy ad/or girls to better match your container to the actual shot.
IF NOT, then your life is that much easier.
Either-way, I would suggest tryng to make the direction of the smoke appear as close as possible to be coming from the cigar smoker.
So you would need to change your bouyancy value a bit to coincide with the relative direction of the blowing cigar smoke.
You can do that by using fields to control the fluid smoke direction like particles.
So, to get it to appear to be coming from the mouth of the smoker:
Setup your container much like you did successfuly with your girl density transition.
Only this time, make the smoke start from an emitter.
So, as the smoke fluid emits from the emitter, which looks like a person blowing it out already anyway, the density map takes over, and forms your girls, ready for your transition in post.
I hope this wasn't too confusing, as Fluids are sometimes hard to control without compositing multiple fluid sims to look like one
Good luck!
Israel "Izzy" Long
Motion and Title Design for Broadcast-Film-DS
izzylong.com
. I want to have a guy smoking a cigar. Then he exhales the smoke and the smoke forms after that the shape of two female dancers. Then the image gets overlayed with the real video of the girls and then they start to dance. 
