Just have an active clone of the player sprite that's created at the player sprite, set it's animation and frame to the same as that of the sprite and make it so the semi-transparency increases every 00.10 or something.
Personally it's not an effect I'm that keen on nowadays :/
As Ad said, once the animations for the main sprite are 100% (or not if you have no qualms with updating them later) then make it a static object, in it's behavior (or just events) set its transparency to its Value A. Set the initial value to 60 or so (so it doesn't start off too visible) and always add to Value A. When Value A is greater than 128 destroy it.
How often you make them is up to you. In my current project I just have them made when the player is moving fast to give an impression of speed. I think it's every 3 frames though, or none at all if the player has the effects set to low.
y'know I hadn't even played a Castlevania game before adding in that effect to Sam (even the non-demo first 2001 had it). But I did see it in some other game, might have even been Street Fighter. And now this is going to peck my head for the rest of the day