Mists are good for (1) getting things wet and (2) making it very difficult to see things, so it's not surprising that they're around when Pip meets the convict in the cemetery, when Pip leaves town, when Orlick tries to kill Pip, and when Pip and Estella reunite again at the (rewritten) end of the novel.
But this is Dickens, so you know it can't be quite that simple. Let's take a look at a specific moment: after Mrs. Joe's funeral, Pip promises Biddy that he will return, but she doesn't believe him. This cuts Pip deep, and he looks to the mists for help and direction, "once more, the mists were rising as I walked away. If they disclosed to me, as I suspect they did, that I should never come back, and that Biddy was quite right, all I can say is—they were quite right, too" (35.61).
In this moment, Pip uses the mist like a magic 8 ball; they reveal truths rather than obscure them. They set the mood, but they also call Pip back to his home village and his childhood, reminding him that he's never going to quite escape the laboring boy that he was.