A soft focus filter is any one of a variety of photography and film-making filters that give a scene a blurry look.
Why, you ask, can't one just defocus the scene with the focus ring ? Yes, but the effect looks different because of bokeh and because the defocusing effect depends on the subject-lens distance; while a soft focus filter will blur the scene uniformly.
There are many different types of soft focus filters: some have a pattern (rings or cross-hatching) etched on the glass, others use gauzy material.
On the other hand, you can make your own: just stretch a piece of nylon stocking or very fine mosquito netting in front of your lens - experiment with different weights to get various effects. Or you can sacrifice a UV filter, and coat it in vaseline. I mean, you are just trying to degrade the performance of a perfectly good optical system, so be creative.
Marriage photographers use this stuff a lot, because (among other things) it hides skin blemishes and wrinkles. If you really love the effect, there are lenses with a feature called DC (Defocus Control), that works like a tunable soft filter.
Some additional info at: soft/fx and fog enhancing filter