I did a wallpaper of this style for Aa! My
Goddess. The way I went around doing it is:
1) Find some good stock photographs of clouds. I went to Stock
Exchange and scanned through probably several dozen pages of cloud stocks before finding some very nice fluffy
images. I think I snagged at least 5-6 different pictures.
2) Mesh the stocks to make one large cloud mattress/platform the character lies upon. Basically, I just arranged the
stocks (no single stock was large enough on its own to serve as the cloud bed) so that they made a larger cloud bed,
with judicious erasing (use a very soft brush for this. Better yet, make a mask and erase that. If you mess up, you can
just fix the mask) so that all the pieces blend into a single picture.
3) Overlap some clouds over the character. You'll need a cloud brush, I think I just took a sample from the cloud
stocks to make the brush (there are plenty of tutorials on how to make custom brushes, it's a pretty easy task.)
Add a little bit of white/grey/cream/whatever color your cloud is brushing over areas where the character would
'sink' into the cloud (clothes directly over the cloud, elbows, knees, feet, hands, hair, etc.) This will give
the illusion that the character is sitting within the cloud, not floating over it.
4) Refine as necessary, with brushing erasing, fixing of levels, colors, hues, whatever you need to do in order to
perfect the image.
Hope this is of help!