Is it simple shape or an animated character?
I've produced a great trail effect in the past by having a duplicate image with the fade behaviour spawn every half a second or so at my player object's position (With the conditional of movement), the only hiccup being you have to get creative with layers as the z-order is messed up with the spawned objects.
EDIT// Just read you want it permanent, you could keep the fade but have the conditional for fade start as a key release or boolean flag?