Game Particles/Sprites Creation? Thread

Im new to creating particle effects for games and frankly dont have an idea where to start.
Effects like, dust, smoke, sparks, fire ect.

The picture I have inmind is that Ill create, for example, a fire in fumefx, then rendering it out as a sprite so it can be used for games...correct?
But thats where my knowelage on the topic ends.

Can anyone point me to some tutorials on making these effects for games, I would really appreciate it.

Newgrounds.com might help.

Hey thanks for the link , I didn't even think to check for all that there ! though this tutorial would be more particle effect Newgrounds.com