I've spent a couple of days, and I'm pretty happy with the results. Since a screenshot doesn't really do it justice, I knocked up a quick video for it. Basically it shows a collumn of heat rising from the bottom of the screen over a static background.
I'm pretty happy with the heat effect now (even though it does use about 100 particle). I also want to get smaller, more controlled version for stuff like ship engines, a shockwave blast, and a water reflection/ripple surface. Then I'll try and do a complete write-up and include shader code etc. for everyone else to tinker with.
Theres a surprising lack of information on this on the web - the only really good article is that in GPU gems, and even that doesn't go into all the issues involved.
(Video captured via Fraps, but it brings my computer to a crawl and only lets me capture about 10 seconds, if anyone knows any better methods to capture OpenGL game footage I'm all ears).