Well, you can do quite well already with a few layer effects and techniques - here's an example with 2 moving lights casting shadows, each with fade-out: https://dl.dropboxusercontent.com/u/15217362/2waylight.capx
It does become difficult though when the lights move further apart. Because they draw shadows instead of light, it's quite tricky if one light is casting a shadow over another. It's hard to make it brighten the shadow back to lightness.
The best approach is to start with darkness, and then add lights on top, additively blending so they contribute light. This means later lights can light up areas that are in the shadow of other lights. It also makes colored lights easy. Then you can multiply-blend the resulting "lighting map" with the background, and it applies lighting to the game.
I thought we'd need nested layers to do this, but no! It's also already possible: https://dl.dropboxusercontent.com/u/15217362/3waycoloredlights.capx
The real trick is multiply is associative. It's hard to have your background and then have multiple lights on top of that, because it's difficult to render the lights together and then multiply blend the end result without nested layers. So - you can render all the lights first, and multiply the background on top of that! It works out the same because a x b is the same as b x a, so the ordering doesn't matter. So here the crux of the trick is you'll notice the background layer on top of all the lights.
You're right, this would make a good tutorial
Links are not working ^^''