You are right bepeg. It's even possible to use planes facing to camera to control the fog in depth.
I'm maybe wrong but i always use a very big cube to give an end to the fog because i have the feeling it speed up the rendering a little bit.
I also always use a cube with only one polygon by face and not a sphere (with inverted normals as explained above) because it really speeds up the rendering (not just a feeling in this case

). Like with emiters, less polygons is better.