1. Blender has an excellent particle generation system with which you can create animated textures with and save them as images or even avi. And it's free...
http://wiki.blender.org/index.php/Manual/Particles
2. Usually particle generation handles the type of effect you are looking for. There are many tutorials on that on the web. And I believe TDK_Man has a tutorial for DBC:
http://forum.thegamecreators.com/?m=forum_view&t=99390&b=10&p=0
3. Let's say your ship model has an exhaust port on the back. At the end of the exhaust port, put a hidden object there whose position is updated as the ship moves around. This is your point of reference for the flame or exhaust.
Another easy trick is to position the smoke or whatever directly at the ships location, set the smoke object orientation to the ship, then use move object -some value behind the ship. That will place the smoke directly behind the ship at whatever value you specify and at whatever angle the ship is at. You refresh the screen after the exhaust has been moved to the back of the ship.
4. If you use the particle emmission method, then objects will be left behind at the ship's last location (and maybe they drift). The particles will have a certain life span and then disappear, but as you move and turn they will be left in the pattern your ship moves until they vanish (get recycled).
Enjoy your day.