@deama: I'm not sure what you mean exactly. If you adjust the farZ instantaneously, it will remove them quickly (e.g. 5000 to 2000). To smoothen out that process, the best you can do is to make a periodic timer and decrease the farZ value by a certain amount per tick.
Some notes: if you want the fog to cover the area, you have to make sure the End-Z of the fog is less than the far-Z. Otherwise you may experience some clipping issues (e.g. black clipping in the sky box)
You can also make a combo of the two options above. I am not sure how it will look, but it may be worth a shot.
Basically you would decrease the far-Z over an interval and decrease the fog's End-Z as well, per tick of the periodic timer.