A soft filter attachment works by introducing different forms of distortion to the picture.
Some work by simply creating an overall blurred effect, others work by trying to cast a hazy effect which softens edges, but allows the picture to retain some form of its original sharpness.
Some of the world's best soft-focus filters are those by B&W and Zeiss, but they are more costly.
Personally, I couldn't afford the Zeiss Softar, so I bought the B&W Soft-Image which has a regular array of micro lenses over the entire surface of the filter.
If you're new to this, what I suggest you try (and this can be really fun - AND cheap!!!), is to make your own!
From stretching ladies stockings over your lens (try different colours, different garniers (densities) etc and see what you get.
You could also buy a few cheapo UV filters and try smearing anything from the oil on your face, hair mousse, dotting the surface with a water-soluble gum (to try and replicate the German effect of micro-lenses) to even using your own spit, dotted, smeared, dotted and smeared etc etc etc.
Some photographers have experimented in the past with crumpled cellophane, but I find that the amount of distortion is simply too great.
The possibilities are endless and the best part about it (besides costing very little) is that you will have fun doing it! Don't like it? Wipe it or wash it and start again!
Try using your creations in different light conditions, but generally, always shoot with the lens wide open to maximise the softening effect.
BTW, if you're more adventerous, try re-creating a multiple apeture soft-focus attachment (again, like those of the Rodenstock and Zeiss soft-focus LENS designs) using cardboard, arcalic sheets and a file hole puncher.
Once you get into it, you'll never want to stop...but remember, the best solutions are often the simplest.