adding to ash's suggestion
you need to store the missiles x,y position before it had moved using variables (just set one to missile.x, the other to missile .y, in an always event at the very bottom of the sheet) and create an sprite with a plain texture (just a colour fill) at that point, set the height to the desired "thickness" of your trail, and set the width to distance(trail.x,trail.y,missile.x,missile.y). then set the trails angle towards the point on the missile where the trails are spawned on (by default its the hotspot, but im assuming you want it on the back), do these events always
add to the always an event that sets the trails opacity to ".opacity-(speed of fadeout perframe)" and maybe some timedelta stuff but that shouldnt be hard to figure out if youre using timedelta already.
lastly create an event to check if the opacity of the trail is less or equal to 0, and add an action that destroys it in that event.
thats all ! ^_^