Here is the working link to that effect:
Making a trail of sprites is easy - on each tick create a "trail" sprite, send it to back of the layout. Add Fade behavior with about 0.2s fade out time and set "Destroy after fade out=Yes".
Or you can do this with Particles (if your character is not very big). Create a trail particle with the same image, put it behind the character, pin them together, set particles speed=0, timeout=0.2s