warrenb that could be done but I am not aware of any such video. Problem is, one could only make such a video while shooting on the range, and that sort of time is pretty rare. Of course if somewhere the right combination of video geek and shooting coach were to get together, they could make some really wonderful and useful videos.
This is the sort of thing though that you will see in person by going to a rifle match, in particular if you participate in a coached match as a scorekeeper or a plotter. Also there is a "Circle Training" system that has been developed over the past few years that is a really fantastic way to see learn and discuss this sort of thing.
The sole quibble I have with Maynard's post above is that sometimes mirage also lies (I am remembering a particular magpie at 600 yards in 2000... that shot still puzzles me). But the important thing is that mirage is by and large your friend when it comes to shooting; given a choice I would nearly always choose to shoot with mirage rather than without mirage.
There is another kind of mirage you can also get, "barrel mirage", which is caused by heated air rising from your barrel. If there is even a whisper of wind it'll be blown away and not be a problem, but if you are shooting under near-dead-calm conditions (oftentimes you'll get this when you are testing ammo in the evening) you can get pretty bad barrel mirage. In my experience barrel mirage will really wreck your sight picture and will also shift the apparent position of your aiming mark (and therefore really ruin your testing). I will do anything I can to deal with barrel mirage (mirage band on barrel, or scope tube, or use a fan to blow air across the barrel).
With respect to regular (not barrel) mirage, in my experience I have never been able to observe a shift in the aiming mark due to mirage, but as a fair warning to this comment I will say that a number of very experienced shooters think that this is true, shoot accordingly, and oftentimes shoot higher scores than I do... so they might be correct!
Boomer I have never had the opportunity to do the test you describe, which of course is the right test to do. At some point would you be willing to say what you have observed, i.e. shift or no shift?
EDIT to add: the reason behind Maynard's "focus your scope 1/3 of the way in front of you" is so that you see the mirage that is produced by the "near wind", that is to say the wind that is closer to you rather than the target. The reason this is useful is that the "near wind" has more of an effect on your bullet than the "far wind"; if they differ, you need to weight the "near wind" more heavily than the "far wind". When you focus your scope like this the target will be slightly out of focus but that is not a problem you can still see the lines and the spotting discs and know where your shots are landing.