The scrim is called "illusion" and is used for wedding veils/trains.
Most big fabric stores stock it.

Also, I'm totally down if you want to collab. I've been working along similar lines.
I've got kinect feeding into Unity3D, and it's mirroring user movements to a low poly model of the Man I made.

You can project on dust, but its tricky to pull off. If you can create laminar air flow (like the "airblade" hand dryers, basically a very thin, very fast sheet of air) then its possible to trap the dust between two of these airflows. This creates an ethereal surface on which to project. However, as...