Also remember-likely for best results you will have custom lights for your FumeFX. If you are trying to match scene lighting for the rest of the shot-your lights for fume fx may only resemble in position/location. The rest of the settings should be tweaked to make your FX look best with your custom light rig.
Depending on what version of FumeFX you have you may also need to be using AB map or AB Raytraced
lights as your light type for good self shadows. I think 4.2.2 makes this less of an issue.