Start a new document about 800x600.

Fill the background with a blue gradient. (#395D9E -> #67ADF0)

- Create a new layer.

- Press the "D" key to reset your colors to black and white.

- Go to Filter->Render->Clouds

- Then go to Filter->Render-> Difference Clouds.

- Press CTRL+F twice to reapply the filter.

- Duplicate the clouds layer (CTRL+J) flip the copied layer horizontally (Edit->Transform->Flip Horizontally)

- Set the copied layer's blending mode to SCREEN

- Merge the 2 cloud layers together to become 1. (to do this, link the 2 clouds layer together and go to Layer->Merge Linked)

- Set the cloud layer blending mode to Screen

Now set your Foreground color to black if its not already black.

- Select the Brush tool and select brush size 100 SOFT EDGE.

- Now use the brush tool and draw your shape. Do this ON the cloud layer!.

- Now go to Image->Adjustment->Levels, and set the input levels to: 20, 1.00, 120. (or you can adjust the sliders til you see something you like).

- Duplicate the cloud layer. (CTRL+J).

Now apply the following Extrude filter to the new duplicate cloud layer:
- Filter->Stylize->Extrude

- Apply this filter setting to the extruded layer: Filter->Blur->Guassian Blur. Enter 5.0.

- Set the extrude layer's opacity to 50%. and the original cloud layer to 70%

BONUS STEP!. The following step creates a ray of light shining through the shape.

Merge the 2 cloud layers together. (link the 2 then press CTRL+E) then set its blending mode back to SCREEN.

- Now Duplicate the cloud layer again.

- Select the TOP cloud layer and then go to Filter->Distort->Polar Coordinates. Choose: Polar to Rectangular

- Then Rotate the image: Image->Rotate Canvas-> 90CW.

- Then go to Filter->Stylize->Wind: MEthod: Wind. Direction: From the Right. Press CTRL+F to reapply the filter.

- Now to to Filter->Stylize->Wind again, this time change direction to: From the Left. Press CTRL+F to reapply.

- Now rotate it back to original position: Image->Rotate Canvas->90CCW

- then go to Filter->Distort->Polar Coordinates. Choose: Rectangular to Polar

Now use the eraser tool, with a 200 SOFT EDGE brush, erase away the TOP layer on areas around the shape, and other areas whereever you think is neccesary.

HERE IS MINE: CLICK on image to view FULL SIZE