We have vfx on different skeleton(s) and parent them (to a bone) in game. It takes the hassle out of large projects.
If that bone has a lot of transformations on it, we create the vfx on a duplicated skeleton, once the vfx is complete we delete the rest of the skeleton (until we are left with just the vfx) and save it as a new skeleton.
pluss doing it this way lets you create cool stuff. For example, if you have a generic fire fx, a smoke fx, and a spark fx. Because these are on different skeletons they can be used in different things, and don't need to be re-animated per skeleton. We trigger the the fire some how, then the fire triggers the smoke and spark (either via events, or by just having a bone called whatever). Its a really good system that has allowed us to expand a lot of areas of the game.
If you need the draw order to change (you want the vfx to appear infront, then behind the main skeleton), I believe it is possible to parent it to a slot/add it to an attachment. This is what http://www.elysianshadows.com/ guys do with their emitter system, but the prinsible is still the same. We didn't explore it though
