You need to detect the double jump first, then create the effect.
Creating the effect is trivial : simply instantiate a sprite or a particle system at a given position (you could use a custom point on the player). The sprite could have the Fade behavior in order to self destroy a few milliseconds after being created.
I'm assuming you already know how to detect the double jump by the phrasing of your question. If not, you might want to follow this tutorial.