Particles are pretty fast really but there are lots of ways of showing damage.
One fast way is to have a transparent object [NB. Use "Set Object Transparency" and "Set Alphamapping on"] maybe star shaped which grows (fast) over the position of the player and gradually fades out [NB. Use "Set Alphamapping on" to increase transparency]. Once transparency reaches maximum allowed (255 I think if you use these commands) you just delete or hide the 'Star' object.
Combine this with particles and/or ghosted planes / explosions you can create some pretty cool looking effects.
EDIT: Attached is an example of what I described. Hope it helps!