Give SetSpriteColorAlpha a try, for example...
+ Code Snippet// Where l_sprite_id is the ID of your sprite
FOR lp = 255 TO 0 STEP -32
SetSpriteColorAlpha(l_sprite_id,lp)
Sync()
NEXT lp
Note however that if you were to do this inside of your main game loop, it would effectively "pause" during the fade so you would need to work it into the main loop rather than a separate loop like this, but this should give you an idea of how you can do it.