Alright, waterfall decorator in the area now.
See, good thoughts with waterfalls talk about the mist generated by falling water. This means any water tile which falls a z-level generates mist. Any mist in contact with a dwarf gives a happy thought--even if it means for a single second only.
Guess what? The water doesn't need to touch the dwarf, just the mist!
# # # # #
. . ~ . .
- - - - -
# # # # #
. . . . .
- - @ - -
# # # # #
. . . . .
- - - - -
Given this context and the # = wall/any immovable or unpassable area; . denoting empty space and - equaling floor or whatnot, @ = dwarf, this will generate mist.
Now if you're talking about waterfall and continuous mist...just do it like the above, with the bridge a row/column 1 tile away from the fall of water.
Win-win, sir.
Edit: Figures.
#~~~#
#~~~#
.....
.....
#####
#####
-...-
-----
#####
#####
-...-
-----
Ad nauseum. You don't need to block the free-fall of water to do anything, you just need water to fall naturally (or artificially using screw-pumps.) to generate mist.
There is one method used normally utilizing screw-pumps.
Top-ish floor
######
-.==.-==
#=##=#
#=##=#
#.==.#
######
######
#S..S#
#....#
#....#
#S..S#
##DD##
Where == is a screwpump. D is a door, S is a statue...
The screw pumps are ordered in either a counterclockwise or clockwise rectangular direction, and the - at the top floor designates an area where a dwarf could easily throw a bucket of water which denotes 1/7 water onto a hole (which I bet the pumps are activated via mechanical power/lever-mechanism switch) which can easily make a mist-room, turned off or on easily. The upper pump equals an exit, and the leftmost - denotes an entryway. Of course, all customizable.
EditII: Centigrade and the rest carry great ideas. Just note that mist usually spreads until ~2 at least, and from my observations, ~4 at most.