very dependant on what you want to acheive.... fully dynamic, semi dynamic...just moving....lit, unlit...etc etc... in games they are made in alot of different ways maybe an example of what you want to acheive would help
In UDK you could use a texture applied to your dominant directional light as a light function mask to simulate the shadows. I think they actually have an example of this in one of the maps that come with the UDK but I can't remember which one it is. As Neox said you shouldn't use a separate alpha object because it'll kill…
wasted performance imho if you want them that way you can always just layer them in shader way cheaper than using a huge ass softalpha sphere in front of the background sphere. I'd only do that if i want to have realtime cloudshadows for example otherwise there is no gain from using more than one mesh with a shader for the…