There are various ways to get VFX inside Spine.
If you look at the Spineboy project inside your Spine installation folder you can see a nice gun shooting effect that also uses blending modes nicely, and that could be a good starting point.
Many people also make VFX frame by frame and later import those frames inside Spine, to match them with their character animations, another approach is also to have a bone spawning the effect and at runtime load a skeleton/frame by frame animation/particle effect.
Depending on what kind of effect you're referring to, and the style you wish to keep there are many possibilities open (:
I'd love to see tutorials about VFX in general, but having a couple about Spine is something we want to make in the future as well!