I got much easier way, and on my 2k4 PC it's running smoothly.
I'm too lazy to post example.
Make another layer and put your player in it, leave the trail object in layer 0
Add fade behavior to the object you want to be "trail", modify settings how you want.
1.System->Every tick|Player->Spawn another object->trail
In the same System->Every tick add action:
Trail->Move to layer 0 (This makes the trail go behind the player)
If you are adding objects, just change the trail's "Move to layer" action.