Note: a detailed tutorial is now available.
Since current version of Redshift requires OpenVDB-compliant voxel grids for its volume rendering, we need to somehow generate and export .vdb files from Softimage (not everybody has access to Houdini, you know).
Thanks to user Mr.Core from SI Community we have a set of ICE-compounds to do just that.
Mr.Core provided compounds to voxelize particles and geometry as well as perform actions on .vdb grids and polygonize them.
Here's an example on how to make a vdb cloud in Softimage, export it to a file and render with Redshift: