Hello 
There is a very simple, but powerful solution:
1. Create a GameObject with Trail-Renderer
At first create an empty GameObject in your scene with default position, rotation and scale (0,0,0 / 0,0,0 / 1,1,1). Now assign the Trail-Renderer component to that object and select a material for the trail-mesh.
Drag that GameObject in your PreFab-folder or somewhere else in your Project-window and delete the GameObject in the scene / hierarchy-window.
2. BugFix
Have a look at this post from YumChaGames : http://www.ufe3d.com/forum/viewtopic.php?id=61
Change the ControlScript.cs as shown in the post. Maybe you need to change "getTransform" to "GetTransform" in the code snippet, because I had an error with "getTransform".
3. Edit your Moves
Now select the move(s), where you want to have some trail-effects. Open up the animation-preview and choose the starting frame. Then create a new Particle Effect:
Choose your Trail-PreFab from Step1 and select a body-part to place the trail. Adjust the offset-values and play around with the duration of the effect. Don't forget to check "sticky" 
This option only works with the BugFix from step 2.
If the trail looks ugly and not smooth enough on very fast motions, you can check this asset: https://www.assetstore.unity3d.com/en/#!/content/16076 or use sticky particle effects instead (they look much better in my opinion).
BTW: You can use the Particle-Effect-Options in the move-editor for all kind of stuff. It simply generates GameObjects from a PreFab at runtime at a specific frame, for a specific duration. So you can put scripts in your PreFab and controll anything you like.
