I have never done it, but I have often thought it would be impressive to create a very LARGE image of the face of the actor playing the Wizard (in real time) via a video camera (hidden with the Wizard), hooked up to a projector, and projecting his face onto a column (or cloud) of fog on the stage.  His voice could be amplified and maybe even altered, but it would sync perfectly with what the audience sees on stage.  I would think it would mimic what they did in the movie pretty well.  To maybe improve the look, the part of the Wizard (PRE live appearance on stage) could be recorded and projected onto the fog cloud, but the timing and reactions to dialogue from Dorothy and the other characters would not be live and may suffer a bit as a result.