Doflamingo latching on… to clouds? I guess since Smoker's smoke is solid enough, clouds can be too (hence Skypeia).
Anyway, I remember Dofla mentioning his path got cut off in 697, which probably refers to his cloud-swinging:
http://www.mangapanda.com/one-piece/697/15 or
http://www.batoto.net/read/_/154527/one-piece_ch697_by_mangarule/13 for a second translation.I didn't really understand the "sky walk/road" then, but now it makes more sense.
Looking back at that panel, there were sticks of some sort burning off smoke on the raft, which was visible from quite a distance away. I wonder if that was some sort of dance powder opposite, which burns away clouds (thus slowing down Doffy's path), or if the smoke was simply to make the raft with the "message" visible from the sky. Doflamingo angrily stomped it out a few panels later.