Dealing with loss in a productive way
One of the most important themes throughout each separate short story in the novel is dealing with loss in a productive way. In "Lean Times in Lankhmar," Fafhrd and the Gray Mouser are dealing with the brutal murders of their loved ones at the hands of their guild, who were mad at the duo for breaking the rules. But instead of wallowing in their misery and taking their anger out in an unhealthy way, Fafhrd and the Gray Mouser channel their energy and grief into adventure. In their adventures, the two have a tremendous time and accomplish quite a bit, something many grieving people would be unable to say for themselves. In that sense, the novel is a warning to people that they must get up and get active after their losses. They cannot sit down and wallow in their misery; the person who died would undoubtedly not want the person to put their lives on hold forever.
Entering forbidden and dangerous places
Another significant theme in Swords in the Mist is entering forbidden and dangerous places. On more than one occassion, Fafhrd and the Gray Mouser enter places that they shouldn't. In doing so, they put themselves in strange and oftentimes dangerous situations. In "While the Sea-King's Away," the duo invades the empty boudoir of a sea god. This causes the sea god, who was aware of what was happening in his domain, to be incredibly angry and to lash out on the duo, who must escape the god's wrath and certain death. In that sense, the novel warns its readers that they need to get more information about a situation before they take a risk. It is also a warning against entering forbidden and dangerous places. After all, they are forbidden for a reason.
Making amends once a mistake is made
Another fairly significant theme is making amends once a mistake is made. For example, in the short story entitled "While the Sea-King's Away," Fafhrd and the Gray Mouser invade the boudoir of a sea god that the god no longer inhabits. And though the god didn't actively live in the boudoir, he was aware of what was happening within it. Thus, the duo's incursion understandably infuriated the god, causing him to be violent. Still, Fafhrd and the Gray Mouser make amends for their mistake and make the situation better, first by running away from the imminent danger that they face.